Team Black Pink, comprising of students Anita Chia and Jorden Seet from School of Information Systems and Jaylen Li from School of Economics, has clinched the second runner-up position and a cash prize of US$8,000 at the global finals of the 2019 International Quant Championship which was held in Singapore on 5-6 September 2019.

The team had won the Singapore round of the Championship in July. Besides a cash reward, the team was also awarded the opportunity to represent Singapore at the global finals where they would pit their skills and knowledge in quantitative finance against 14 teams from other countries, namely China, India, Canada, France, Korea, Thailand, Taiwan, Vietnam, Germany, Israel, United Kingdom, Indonesia, Malaysia, and Russia.

Organised by WorldQuant, a quantitative asset management firm, the team-based university competition is one of the largest quant competitions in the world with over 11,000 participants in its 2018 edition. It offers participants the opportunity to learn more about quantitative finance through various articles, videos and online mentorship via WorldQuant’s WebSim platform. Participants build quantitative predictive models using historical market data and pre-defined operators on the WebSim platform to simulate equity positions.

For the global finals, the teams were given five hours to create a quantitative portfolio by integrating several predictive models with low correlation. They had to use expressions, a combination of SQL (a database language) -like selection scripting and Python (a coding language) -like logical manipulation, to apply various weight on each predictive model within that portfolio. The objective was to create a predictive model that gains the most risk-adjusted profit when applied to real trading environments. Teams were judged on quality and results of their predictive model and when simulated against out-sample data.

Jorden said, "When preparing for this competition, we have learned about the different mathematical models and strategies used in the finance industry by reading research articles and consulting with industry experts. It was eye-opening to see how teams from all over the world use various statistical, mathematical and machine learning methods to further their strategies during the competition.

“Our team has grown and further developed its knowledge in both the financial and quantitative domains and we are much more confident discussing about these topics now,” added Jaylen. “We are glad to have gone through this competition together, and to have done SMU proud in the process."

Featured photo: (Front row, L-R) SMU team of Jorden Seet, Anita Chia and Jaylen Li with their winner’s certificate. Behind them were staff from WorldQuant.