MIT traders win Rotman International Trading Competition
Toronto, February 22, 2011 - For the second consecutive year a team of undergraduate students from MIT won the eighth annual Rotman International Trading Competition (RITC) hosted by the Rotman School of Management at the University of Toronto. A team from the University of Chicago placed second, students from Baruch College at the City University of New York placed third, while teams from Northwestern University and the Rotman School, were fourth and fifth respectively.
The first place team was comprised of undergraduate students Gama Le Bouder, Benjamin Huan, Joseph Huan, and Kanjun Qiu. This is the second consecutive year that these students have won the event, making them the first team, and MIT the first school, to hold the RITC title for two years in a row.
More than two hundred student traders, thirty faculty advisors and twenty sponsor representatives participated in the event. The students represented fourty-six universities from Australia, China, Thailand, Europe, United Kingdom, United States and Canada.
The competition featured six distinct trading cases focusing on a diverse range of securities and markets, including equity shares, bonds, natural gas futures contracts, index futures contracts and even high frequency trading implemented by computer algorithms written by the students. Over the three day event, teams were able to demonstrate their ability to understand and successfully execute trading strategies on a consistent basis. Teams are scored over many different iterations of each case, and the final score is comprised of their rankings across all of the cases.
In the competition’s natural gas trading case, sponsored by BP Canada Energy Company, the top five teams were University of Waterloo, MIT, University of Chicago, University of Queensland, and Drexel University. This trading scenario required students to transact natural gas futures over a calendar curve and react to news-releases such as pipeline outages and weather events.
The Alpha ATS: Sales and Trader results were led by the Rotman School, followed by University of Chicago and Baruch College. Northwestern University and University of Queensland tied for fourth place in the event. The sales and trader case was designed to test the competitors ability to transact liability trades and unwind large blocks of shares into a marketplace while judging market impact. Traders had multiple marketplaces to transact their shares with different liquidity and cost structures.
The Algorithmic HFT case, sponsored by CIBC, was won by Baruch College, with the following four teams comprised of MIT, Universite Laval, University of Waterloo, and University of Queensland. This case required traders to build a high-frequency market making algorithm capable of balancing price and liquidity risk, while profiting from the bid-ask spread.
The newest sponsored case, the Thomson Reuters Quantitative and Event Driven trading case allowed students to analyze a machine-readable news database and predict future stock movements based on Thomson’s proprietary news database. The top five schools were, respectively, Universite de Sherbrooke, MIT, Baruch College, Texas A&M, and University of Alberta.
The Interest Rates trading case had 6 teams in the top 5 places due to ties, and those teams were Texas A&M, MIT, University of Chicago and Penn State University (tied for third), Baruch College and Babson College (tied for fitth). This case featured various benchmark yields and yield spreads that the students had to trade to predict movements of the government yield curve in response to macro economic factors.
Finally, the Quantitative Outcry case, involved trading index futures in response to government macro-economic data releases. This outcry event is truly unique in the competition due to the fact that traders commit their transactions directly with each other through an “outcry pit” designed to be similar to those at various exchanges. The top five teams in this event were the United States Military Academy at West Point, Ryerson University, University of Reading, Northwestern University, and University of Waterloo.
Faculty advisor Jason Hall from the University of Queensland said that “the competition does an outstanding job of simulating conditions in the world of finance”. Competition director, Kevin Mak, who is also manager of the lab at the Rotman School, pointed out that “students work really hard at their home universities to win the privilege to come to our international competition”. Rotman Prof. Tom McCurdy, who is the founding Director of the Lab, reports that the “cases were designed to facilitate learning about effective strategies that work for a range of scenarios we could face in an uncertain world”.
BP Canada Energy Company sponsored the BP Commodities Trading Case; Alpha Group sponsored the Alpha ATS: Sales & Trader Case; CIBC World Markets sponsored the CIBC Algorithmic High Frequency Trading Case; and Thomson-Reuters sponsored a Quantitative Event Driven case. Additional financial support for the competition was provided by Capital IQ, DRW Trading Group and Manulife Financial.
The competition was held at the Rotman School of Management’s Financial Research and Trading Lab, a fully equipped computer lab designed to promote experiential learning in the area of financial markets and data. The competition cases are implemented over the highly acclaimed Rotman Interactive Trader application, a market simulation tool being used in over 30 universities and money management firms around the world. Further information on the lab is available at finance/lab