Hoboken, NJ – A team from Stevens Institute of Technology recently won the Knight's Capital Prize for Best Use of Data in the annual Algorithmic Trading competition run by the University College London (UCL).
The three-month Algorithmic Trading competition, which began in September 2011, drew more than 300 participants and 100 groups of students, researchers and industry professionals from around the globe. It was sponsored by Microsoft Corporation, Barclays Capital, Citigroup and Knight Capital, and featured prizes totaling £25,000.
Participants in the competition used a trading platform called ATRADE and a virtual trading floor based on real foreign exchange rates to develop computational algorithmic trading strategies. They received market updates and issued and managed orders, working with £10,000 virtual money in realistic trading conditions.
The members of the Stevens team included Dr. Germán Creamer, an Associate Professor in the Howe School of Technology Management and the School of Systems & Enterprises, and Financial Engineering PhD students Yue Li and Qiang Song. They won the Knight’s Capital prize for building an algorithmic trading model that excelled in terms of its data analytics and data mining components.
The Stevens team worked mostly with the pound sterling/US Dollar exchange rate. The trading agent checked three alternative trading strategies: pair trading, triangular arbitrage and a predictive machine learning algorithm. The first two options were rarely profitable as the efficient foreign exchange market eliminated any arbitrage opportunity very fast. The third alternative was able to find trading opportunities as it combines several technical indicators and calibrates them automatically using a machine learning algorithm.
About Stevens Institute of Technology
Founded in 1870, Stevens Institute of Technology, The Innovation University™, lives at the intersection of industry, academics and research. The University's students, faculty and partners leverage their collective real-world experience and culture of innovation, research and entrepreneurship to confront global challenges in engineering, science, systems and technology management.
Based in Hoboken, N.J. and with a location in Washington, D.C., Stevens offers baccalaureate, master’s, certificates and doctoral degrees in engineering, the sciences and management, in addition to baccalaureate degrees in business and liberal arts. Stevens has been recognized by both the US Department of Defense and the Department of Homeland Security as a National Center of Excellence in the areas of systems engineering and port security research. The University has a total enrollment of more than 2,350 undergraduate and 3,600 graduate students with almost 450 faculty. Stevens’ graduate programs have attracted international participation from China, India, Southeast Asia, Europe and Latin America as well as strategic partnerships with industry leaders, governments and other universities around the world. Additional information may be obtained at www.stevens.edu and www.stevens.edu/news.