Challenge
Overview: The SIAG/FME Code Quest is a programming challenge dedicated to solving mathematical and finance modeling problems using computational tools, aiming to inspire students around the world to advance their knowledge in some emerging quantitative finance themes.
Open to students or teams worldwide.
An entirely internet-based competition with no registration or participation fees.
Cash prizes awarded to the top three teams.
Only basic knowledge of financial markets and coding is required, and all necessary materials are provided in the challenge description.
Prizes: The winning team receives the grand prize of 3,000 USD. Two runner-up teams receive 1,000 USD each.
Eligibility:
Open to undergraduate and graduate students enrolled in an accredited university throughout the contest period.
Teams can comprise of up to 3 members.
Registration is free but mandatory before the announced deadline.
Finalists must provide evidence of student status, such as a copy of their student ID or a letter from their department chair or registrar.
A designated team member, chosen through consensus, should have the capability to accept wire banking transfers and must be willing to oversee the secure receipt of the monetary prize via a banking transfer facilitated by SIAM.
Important Dates:
Dec 1, 2023: Problem set posted
Dec 19, 2023, 12:00PM Noon (US EST; UTC -5): Online office hours
Jan 5, 2024, 11:59PM (US EST; UTC -5): Registration deadline
Jan 16, 2024, 12:00PM Noon (US EST; UTC -5): Online office hours https://utoronto.zoom.us/j/88355458296
Jan 31, 2024, 11:59PM Midnight (US EST; UTC -5): Project submission (first round)
Mar 14, 2024, 1:00PM (US EST; UTC -5): Final presentation (top three teams) during SIAG/FME Virtual Seminar
Final Round
100+ teams from around the world signed up for the SIAG/FME Code Quest 2023. Meet the top 5 competing in the final round for three prizes:
APAM
Han Yong Wunrow, Columbia University
Yan Cheng, Columbia University
Hongjin Wang, Columbia University
Blanco (winner - honorable mention)
Milo Grillo, Humboldt University in Berlin
Konstantins Starovoitovs, Humboldt University in Berlin
Vladislav Cherepanov, University of Oxford
Floor F (winner - honorable mention)
Boubacar Bangoura, ETHZ
Nitya Afambo, ETHZ
Yuan Chen, University of Vienna
QuantHub (winner - grand prize)
Daniele Maria Di Nosse Scuola Normale Superiore di Pisa
Federico Gatta Scuola Normale Superiore di Pisa
UW Goose
Michelle Ko University of Waterloo
Kyu Min Shim University of Waterloo
Max Chen University of Waterloo
The final round will take place online during SIAG/FME virtual seminar, on March 14, 2024, 1PM-2:30PM (EST). Each team will have a 10 minutes presentation, and the winners will be announced shortly after. All are invited, the event is free and open to the public. Registration is required due to security reasons.
The Challenge: Participants are required to achieve two main objectives:
Grasp and code the essential operations of constant product market makers in Python to accurately reproduce the processes of liquidity taking and provision.
Implement a liquidity provision strategy across multiple pools that minimizes predefined risk measures and attains a certain investment goal.
Download the formal formulation and supported Python files as a single .zip file. It contains the necessary background about constant product market makers, sample Python code, the definition of objects, the competition tasks, and judging criteria. If you have downloaded the files prior to Dec. 19, 2023, please download the new files.
Rules and Instructions:
Upon participation in the competition, each team and its members commit to adhering to The SIAG/FME Code Quest Honor Code and affirm their status as actively enrolled students.
Programming is to be conducted in Python 3.0, exclusively utilizing standard libraries and packages. The submitted code must be compatible with Google Colab, ensuring it runs without the incorporation of unauthorized third-party packages or libraries.
Office Hours: Participants are encouraged to join the open online office hours facilitated by the judging committee members on December 19, 2023, and January 16, 2024. These designated sessions offer an opportunity for participants to seek clarification on any aspects of the contest by posing questions to the committee.
Deliverables:
A report describing the methodology used. This should be a PDF up to 6 pages long (excluding references) using standard font size 11pt, 1" margins, on letter-sized paper.
A standalone Python code that meets all criteria and requirements described in the Challenge. A Readme file describing how to execute the code - ideally from a main.py file. All files should be submitted as one zip archive.
The files names must follow the format teamname.zip, teamname.pdf.
The files should be uploaded to Dropbox before the deadline. Late submissions will not be accepted. SIAG/FME is not responsible for any circumstances or conditions that would prevent a potential team from registering or fully participating in the Challenge.
Please submit your final optimal allocations and attestation using this form.
Judging criteria: Each team will be ranked based on both the performance metric of the total P&L and the methodology employed. Please note that straightforward grid or randomized search methods with extended run times may potentially be subject to a penalty in the overall evaluation of the work.
Honor Code: The SIAG/FME Code Quest is a collaborative and educational competition that encourages participants to showcase their problem-solving and coding skills. To maintain the integrity of the event and promote fair play, we expect all participants to adhere to this honor code:
Complete all the tasks and challenges presented in the Code Quest without seeking or providing unauthorized assistance.
Ensure that any code or solutions submitted are original and created during the competition.
Violations of this honor code may result in disqualification from the Code Quest and other potential consequences as determined by the quest committee.
Final results and winners: to be announced on March 14
World Business Chicago (WBC) mission is to drive inclusive economic growth and job creation, support businesses, and promote Chicago as the leading global city.
SIAM aims to advance the application of mathematics and computational science to engineering, industry, science, and society.