This spring WorldQuant, LLC, a US-based quantitative asset management firm, sponsored the first National University of Singapore (NUS) Quant Challenge, attracting 50 teams totaling some 150 students. Hosted by NUS’s Faculty of Science and School of Computing, the two-week competition saw students innovate and leverage their STEM (science, technology, engineering and mathematics) backgrounds to build alphas — mathematical models that, when used in combination with historical data, seek to predict future price movements of securities and various financial instruments.
The NUS Quant Challenge is one of WorldQuant’s many global initiatives to raise interest and develop talent in quantitative finance. Students were introduced to WebSim, WorldQuant’s proprietary web-based simulation platform, which they used to develop and test their alphas in a structured environment. NUS co-coordinators Murugesan Sethu, head of strategic partnerships and development for the Faculty of Science, and Gary Tan, a professor and vice dean of student life at the School of Computing, say the opportunity for students to experiment with quantitative finance tools using their own algorithms was invaluable. “The program is fully in sync with NUS’s objective to promote financial technology industry training for students and establish a high-quality talent pipeline for employers locally and around the world,” Sethu adds.
We learned a lot from the drop-in session. The advice on diversifying strategies to reduce correlation and focusing on subuniverse equity helped us to get higher scores in the Challenge. Kaican Kang
The competition launched on March 25 with a special half-day training session led by Jeffrey Scott, director of WorldQuant’s Virtual Research Center, and Nitish Maini, a vice president of portfolio management. Participants were allowed to develop alphas in teams of one to four members to encourage collaboration among students from an array of specialities. In the middle of the competition, a drop-in tutorial session gave the teams the opportunity to meet one-on-one with portfolio managers and senior researchers from WorldQuant’s Singapore and Vietnam offices, respectively.
The midcompetition tutorial proved especially useful for the winning team, the Quant Rangers, led by postgraduate students Bing Hu and Kaican Kang. Their scores accelerated after the session, which they felt helped them fine-tune their alphas and improve their idea generation. “We learned a lot from the drop-in session,” says Kang, a Ph.D. candidate in mechanical engineering who specializes in operation research and management at the Faculty of Engineering. “The advice on diversifying strategies to reduce correlation and focusing on subuniverse equity helped us to get higher scores in the Challenge.” Though both Kang and Hu, who recently completed his MSc in quantitative finance at the Faculty of Science, had experience in mathematical modeling and programming, their knowledge of simulation tools grew during the competition. They credit their NUS Quant Challenge victory to strong communication, intellectual curiosity and hard work.
The NUS Quant Challenge is a microcosm of real industry experience, as the dynamics of the competition could indeed happen. For example, alphas submitted at the end of the first two weeks were given two more weeks to generate performance during an out-of-sample period before the final scores were tabulated. Interestingly, the runner-up team, SSSI, led the Quant Rangers at the end of week two but ended up swapping positions with them.
NUS awarded prizes as an incentive for students to participate in the NUS Quant Challenge. The Quant Rangers received S$5,000 for first place, and second-place SSSI took home S$2,500. Efforts like the NUS Quant Challenge will help Singapore achieve its goal of becoming a “Smart Nation,” harnessing technology and data to improve the quality of the lives of its citizens.
Danyal Motiwalla, a Singapore native, is pursuing a degree in economics at Cornell University and is currently working as an intern at WorldQuant, LLC.