Photos left to right: First place undergraduate winners, Matthew Hong (Finance), Sophia Hua (Statistics), and Adam Martin (Computer Science); second place undergraduate winners Yu Wu (Engineering), Alex Adam (Computer Science & Math) and Jason Mai (Computer Science); and second place graduate level team Carter Tinney (Computer Science undergrad), David Madras (Computer Science and Statistics undergrad) and Phil Remillard (Masters, Financial Economics), pictured with Helen Kontozopoulos, DCSIL co-director and co-founder.
Waterfront International Ltd (WIL), quantitative finance research firm specializing in developing computer-based statistical trading strategies, sponsored the second annual Quantathon held at the Department of Computer Science Innovation Lab (DCISL) March 18-20.
Quantathon is a contest that requires multidisciplinary teams to respond to a problem that combines skills in finance, computer science and statistics.
The event is organized in collaboration with the Department of Computer Science (Helen Kontozopoulos, DCSIL co-director and co-founder), UTSC Department of Computer and Mathematical Sciences (David Fleet, Chair), Department of Statistics, and Rotman Commerce. Registration is open to all U of T students, and many students from engineering and the math also participated.
This year, Quantathon split team entries between graduate and undergraduate-level competitors. At least one graduate student per team qualified for the graduate-level competition. Quantathon nearly doubled its participation this year, with 45 participating teams, with 35 of those teams submitting final solutions to the following problem:
Given historical price and volume information for a universe of 100 stocks, students had to maximize the Sharpe ratio of a long-short portfolio held intra-day. The submissions were evaluated using out-of-sample data. The groups used optimization, machine learning and portfolio theory to solve the problem.
Computer Science was well represented and students placed on nearly every winning team this year, including each undergraduate category and second and third place in the graduate category!
Engineering student Yu Wu (2nd place undergraduate team) completed an NSERC Undergraduate Student Research Award (USRA) in the summer of 2013 under the supervision of Professor Christina Christara. Math student Yuwei Chen (3rd place undergraduate team) will also begin graduate studies in computer science this fall with Professor Christara as their initial supervisor.
Congratulations to all the Quantathon participants!
Quantathon plans to expand to additional cities next year, and plans are already in the works to bring it back to U of T in early 2017!
First Place: $5,000
- Sophia Hua (Statistics)
- Adam Martin (Computer Science)
- Matthew Hong (Finance)
Second Place: $2,500
- Yu Wu (Engineering)
- Alex Adam (Computer Science & Math)
- Jason Mai (Computer Science)
Third Place: $1,000
- Zhenan Fan (Math)
- Wen Xiao (Computer Science)
- Yuwei Chen (Math)
First Place: $7,500
- Rafid Mahmood (PhD Industrial Engineering)
- Nadeesha Amarasinghe (MSc Electrical Engineering)
- Hassan Farooq (MSc Electrical Engineering)
Second Place: $5,000
- Phil Remillard (Masters, Financial Economics)
- David Madras (Computer Science and Statistics undergrad)
- Carter Tinney (Computer Science undergrad)
Third Place: $2,500
- Nat Leung (PhD Computer Science)
- Zhen Qin (PhD Statistics)
Read more about last year’s Quantathon in 2015.