It’s not every day that students get to practice the trading strategies they learn in a classroom with a hands-on, market simulated trading platforms. Recently, 11 students and our fearless director, Ahmad Namini, flew north to compete in the Rotman International Trading Competition in Toronto, Ontario, Canada. 48 schools from around the globe competed in 7 trading events that tested market intuition, speed of reaction and recovery, model making, and algorithm writing skills.
|Hard at work in the Finance Lab|
We arrived in Toronto really late on Thursday night. While we missed the opening ceremony, we were still able to bond over the one pound Wings special at a local sports bar! We woke up early on Friday morning so we could get checked in, have first pick at the breakfast spread, and start sizing up our competition.
The first case we competed in was a Commodities trading case. Four team members worked together to aggregate the largest P&L. It was great to work alongside teammates and hedge each other in order to mitigate risk associated with commodities trading.
The afternoon case was Sales & Trader. Here, we traded two assets using a combination of limit orders, market orders, tender offers, and auction pricing. It was a very exciting element of the competition and one our team succeed in. The fun didn't stop here!
That evening, we had a Quantitative Outcry case.There were two analysts who sat in a room on the second floor with glass windows and performed calculations based on market news while signaling to their two traders on the floor. The traders on the floor interacted in the traditional “Open Outcry” trading floor. This was a test of patience, persistence, and volume! Even though most trading occurs electronically now, it was fascinating to experience what a traditional trading floor looks like with people yelling “BID!” and “ASK!” and “SOLD!”
|Members of the Quantitative Outcry trading team|
We concluded that evening with a team dinner and social at a local bar. We hung out with students from our program and also mingling with students from around the world! Industry professionals and faculty advisers attended the social which was a neat networking opportunity.
|Team dinner in downtown Toronto|
A Saturday morning wake-up call at 6:30 am isn't always enjoyable…but the excitement of another day of competition quickly changed our spirits. Saturday we traded the CIBC Yield curve case. This case required us to build an interest rate model for three coupon bonds of different maturities based on the interest rates of four zero coupon bonds. We also received news events that randomly entered the market. These news events drove the prices of the bonds up and down creating arbitrage and market making opportunities.
Throughout the weekend we ran an algorithm that was programmed through Visual Basic which was monitored by one team member. We worked on this several weeks up until the competition and made tweaks throughout the competition.
The culminating reception for the competition occurred on the top floor lookout of the 1000-foot tall CN tower in downtown Toronto. It provided a stunning view of the city lights and was a phenomenal way to end a successful and educational weekend in Toronto. We celebrated in China Town after the reception and then hopped on a plane on Sunday morning to face the hours of homework we had prolonged all weekend!
|Team members celebrating a successful weekend on the lookout floor of the CN Tower|
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Annika Westre is using an academic background of mathematics and a passion for financial markets to leverage career opportunities in quantitative portfolio management or risk management. Annika enjoys cooking new food, drinking coffee, running, exploring Boston, and playing Sudoku.