Baruch Quants Win International Competition

Baruch MFE Director Dan Stefanica, right, and alumnus Eugene Krel, who coached the winning Rotman International Competition team, consider a financial pricing model.

Two teams of students in Baruch College’s master’s in financial engineering (MFE) program won first and fourth places in the prestigious 2012 Rotman International Trading Competition at the University of Toronto, besting 48 other teams from 44 academic institutions on four continents between Feb. 23 and Feb. 25. The competitors engage in simulated trading cases that closely mimic real-world financial markets.

The students – dubbed “quants” for their practice of financial quantitative analysis – bested students from Guido Carli University of Rome (2), University of Chicago (3), University of Waterloo of Ontario, Canada (5), Northwestern University’s Kellogg School of Management (7), Duke University (19), Rutgers University’s Financial Mathematics Program (22), Boston University’s Financial Mathematics Program (28), Massachusetts Institute of Technology, last year’s winner (33), and Columbia University’s Financial Mathematics Program (40).

“Our teams were extremely consistent and followed the pre-designed strategy, not being lured by potential ‘break-the-bank’ strategies, but performing at a very high level throughout,” said Associate Professor Dan Stefanica, director of Baruch’s MFE program since it admitted its first students in 2002. He is an applied mathematician who specializes in numerical methods for financial applications. “Our students formed a real team, helping each other trade better and focusing on the overall P&L [profit and loss] and the success as a team, not on individual performance or the relative standing of the two teams.”

Baruch’s competitors were Andrew Chan, Victor Chen, Alex Hawat, Gama Le Bouder, Yike Lu, Tom Maloney, Alexei Smirnov and Zhechao Zhou. Yike Lu and Alexei Smirnov were members of the Baruch team that placed third last year. This was the third consecutive first-place finish for Gama Le Bouder, who won in the two previous competitions while representing MIT.

The team was prepared over many months by Eugene Krel (Macaulay Honors College at Baruch 2008, Baruch MFE, 2009). He and Associate Professor Rados Radoicic, a mathematician who is interested in applications of probabilistic techniques to finance, led the team in Toronto.

Here’s how Baruch’s teams placed in different events:
• Quantitative Event Driven Trading: 2nd and 4th place
• Commodities Trading: 4th and 5th place
• Sales and Trader: 5th and 5th place
• High Frequency Algorithmic Trading: 4th and 7th place
• Options Trading: 10th and 13th place
• Quantitative Outcry: 12th and 22nd place

Last September, Baruch’s MFE program was ranked fifth in North America by Quantnet, an online resource for graduate students who are considering education and career opportunities in the field of quantitative finance. The ranking – based on data provided by 22 top colleges and surveys of hiring managers and recruiters who discussed the performance of graduates who work at their financial institutions – placed Baruch after Carnegie Mellon, Princeton, Columbia and New York Universities and ahead of Stanford, UC Berkeley, Cornell, MIT and UCLA, among others in the United States and Canada. Carnegie Mellon, Princeton and NYU’s financial engineering programs did not enter this year’s Rotman competition.

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