Resilience of Interconnected National Market Infrastructure

Stock markets such as New York Stock Exchange and NASDAQ form a critical part of our national financial infrastructure. Originally run by human traders, these markets are now largely algorithmic, and as software artifacts rank among the most complex systems in the world. Though highly regulated, the safety, correctness and resilience of these markets has only recently begun to be subjected to rigorous formal analysis. Competitive pressures continue to motivate the introduction of new complex market features, including novel order types and “dark” trading venues, and regulations such as Reg NMS require high-frequency interdependence between these systems. To protect our national market system from attack and unsafe emergent phenomena such as “flash crashes,” novel approaches to market governance are required. The goal of this project is to develop pioneer new approaches to market resilience, combining formal verification and high-fidelity “digital twins” of interconnected networks of real-world trading venues with novel notions of market resilience centered around the concept of “undue influence.”