After the third week of trading in the Stevens High Frequency Trading Competition, we now have a tie for first place! This week’s theme was “Illiquid,” which made teams have to rethink their strategies after they had been trading large cap stocks the previous two weeks.
Taking first place this week in terms of P&L, while also achieving the highest Sharpe Ratio, we congratulate "The Bagholders", comprised of students from Rutgers University. Because scoring increases as the weeks go on, they are now tied for first place with last week's winners, team PumpnDump.
Next, teams will adapt to trade with Zero Intelligence (ZI) Bots in the "Correlations" themed week. Instead of using historical data, as was done previously, teams will be trading in a market generated by these ZI agents, which trade at random. These agents form a very foundational model of a stock exchange. However, this year, correlation agents will be added, which induce positive or negative correlations between stocks. It is up to the competitors to discover these correlations and adapt them into their strategy.
We are also happy to share that last Wednesday we welcomed our second guest for the competition’s speaker series, Signal and Noise. We thank Adam Moszczynski, an alumnus in both Quantitative Finance and Financial Technology & Analytics from Stevens, for sharing his insights on how to learn from this competition and how you can apply it to the rigorous HFT world.