A team of five students from the NUS Risk Management Institute — Liang Zhihui, Xiao Chao, Jiang Zerui, Zhou Bingyu, and Luo Jiarong — took the third prize at the finale of the UBS Quant Hackathon held in November.
The finale was held at eight of UBS’s offices worldwide, including Singapore, Zurich, London, New York, Hong Kong, Shanghai, Beijing, and Sydney. An online quantitative strategy competition with a final live hackathon, the UBS Quant Hackathon encouraged contestants to combine innovative ideas with their quantitative skills to tackle real life challenges faced in the financial industry.
The NUS team, who are all from the Institute’s Master of Science in Financial Engineering (MFE) programme, won for their Quant Strategy. This involved reviewing theoretical models, analysing the results, coming up with strategic ideas, as well as implementing basic model codes.
Reflecting on how the MFE programme honed their skills for the competition, Zhihui, the captain of the team, said, “The content of all our MFE modules is very practical. We applied the GARCH model and hedging value that we learned this semester, to our final Quant strategy, which was of particular interest to the judges.”
The competition was open to students from universities across the globe. Students with Python programming skills and/or technical skills were encouraged to participate, but these were not mandatory requirements. The Quant Hackathon attracted students from 217 universities worldwide this year, including Cambridge University, Fudan University, NUS, New York University, Peking University, and Tsinghua University.
The Hackathon lasted nearly two months, beginning with the first round, which required each participating team — consisting of three to five students each — to submit a trading strategy coded in Python. The strategy came from one of the following four areas:
- Sector or Country Rotation Strategy,
- USDJPY Hedging Strategy,
- Bonds Hedging Strategy, or
- FX Value Strategy.
After a thorough evaluation of round one submissions, UBS announced the 13 shortlisted teams for the final live hackathon on their website on 28 October. The qualifying teams had to devise a Quant Strategy using real market data during the final 24-hour live hackathon.
Speaking about the hackathon, UBS stated that “the participating teams demonstrated their strong capabilities in financial analysis, data modelling, and other fields. Players from all walks of life had strong dialogues and demonstrated very mature data use capabilities, modelling capabilities, and financial market understanding capabilities”.
By NUS Risk Management Institute