February 27, 2012
Toronto – A team of students from Baruch College (City University of New York) won the ninth annual Rotman International Trading Competition (RITC) hosted by the Rotman School of Management at the University of Toronto. A team from LUISS Guido Carli University of Rome placed second, while students from the University of Chicago placed third.
The first place team was comprised of students Alexei Mikhailovich Smirnov, Gama Paul-Emmanuel Le Bouder, Jing Chen, and Yike Lu, the team’s faculty advisor was Professor Rados Radoicic; the second place team included Aldo Ballarini, Alessandro D’Atri, Marco Salerno, and Maria Paola Satolli, their advisor was Professor Emilio Barone. Chicago’s team was advised by Professor Roger Lee with team members Navreet Gill, Jun Liu, Yixing Zhang, and Yunyu Zhao. This is Paul-Emmanuel’s third consecutive first place finish, having won in the two previous competitions while representing Massachusetts Institute of Technology.
More than 240 student traders, 28 faculty advisors and 27 sponsor representatives participated in the event. The students represented forty-four universities from Australia, Thailand, Europe, United Kingdom, Ireland, United States and Canada.
The competition featured six distinct trading cases focusing on a diverse range of securities and markets, including equity shares, options, crude oil physical products and 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 commodities case, sponsored by BP Canada Energy Company, the top teams were the University of Waterloo, LUISS (Rome), University of Chicago and Baruch College. This trading scenario required students to transact crude oil, transport it by pipeline or ship and refine the crude into heating oil and gasoline. Besides arbitraging across location and product type, they had to react to news-releases such as pipeline outages and weather events and hedge their risks in futures markets.
The Sales and Trader results were led by the University of Chicago, Northwestern University, Laval University and HEC Montreal. 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 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 schools were, respectively, University of Chicago, Baruch College, and Northwestern University.
The Algorithmic case, sponsored by CIBC, was won by the University of Chicago, following by Saint Mary’s University, Laval and Baruch College. 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 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 Washington University in St. Louis, University of Windsor, Florida International University, Northwestern and University of Waterloo.
Finally, the Options trading case required students to use option valuation models to forecast the future volatility of an underlying stock, trading options to benefit from mispricing across strike prices. In this case, the top place was a tie between LUISS University of Rome and Laval University, followed by University of Queensland in Australia, University of Waterloo and Fairfield University (Connecticut).
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, CIBC World Markets sponsored the CIBC Algorithmic Trading Case, and Thomson Reuters sponsored a Quantitative Event Driven case. Additional financial support for the competition was also provided by Capital IQ.
The competition was held at the Rotman 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 atwww.rotman.utoronto.ca/finance/lab.
The Rotman School of Management at the University of Toronto is redesigning business education for the 21st century with a curriculum based on Integrative Thinking. Located in the world’s most diverse city, the Rotman School fosters a new way to think that enables the design of creative business solutions. The School is currently raising $200 million to ensure Canada has the world-class business school it deserves. For more information, visit www.rotman.utoronto.ca.
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