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Baruch College’s MFE team shines at Toronto’s 14th annual RITC

The Baruch MFE team placed first in the Mathworks Algorithmic Case, second in the Flow Traders ETF case and third in BP Commodities.

Getting into Baruch College’s Rotman International Trading Competition team is as grueling as one might expect. The stakes are especially high because Baruch’s team has had an unprecedented two-year winning streak.

According to Jarrod Pickens, a professor in the mathematics department who trained Baruch’s RITC team, the process for joining the team looks different for Master of Financial Engineering and undergraduate students. The training for MFE students begins in August, when they run through their first simulations. If they have a knack for them, Pickens spends the next two months running the students through more scenarios. After the two-month period ends, the number of students who are both interested in the competition and are qualified to participate drops from 40 to roughly 15.

Undergraduate students can enter the competition by joining Traders at Baruch. Pickens opens simulation cases to members of the club, who are later given the opportunity to trade against MFE students. For this year’s competition, the final lineup was picked by Pickens in October 2016 so as to give the team members enough time to apply for visas and take care of other travel-related paperwork. The team consisted of four MFE students and two undergraduates.

“[T]he level of competition is much higher in the Rotman competition because teams do spend a lot of time preparing for this,” Pickens said. “Some programs prepare for this year-round, so the competition is quite fierce.”

The RITC website explains that the three-day annual “simulated market challenge” takes place at the University of Toronto, Canada. Last year, the RITC hosted 52 teams from 52 universities located in Africa, Asia, Europe and North America.

Each team consists of four to six members who are either graduate or undergraduate students. There are six simulations in total and there is no requirement as to how many simulations each team member has to work on.

“Teams are invited to participate in various activities including electronic and outcry trading cases, seminars with industry practitioners, and social events with their fellow competitors from around the world,” the RITC website states.

Pickens stated that the number of members in each team and the number of simulations that make up the competition make the RITC more difficult than other trading competitions. For example, the Midwest Trading Competition held at the University of Chicago consists of two simulations that are approached by teams of four.

Two and a half to three weeks before the event, the RITC releases its case files to all of the teams that are registered for the competition. During the short time period between the release of the files and the competition itself, teams are able to get together and go through some of the mathematical models that they may need for the competition. Online practice servers are also opened to give teams room to gauge the level of competition that they can expect.

Pickens explained that this year, the competition began with a social event on Thursday night where the teams could meet and interact with one another. The actual competition ran from 8 a.m. or 9 a.m. to 6 p.m. on both Friday and Saturday, with three simulations completed each day. By Saturday night, the RITC organized an award ceremony to announce the winners.

Gordon Yin is an MFE student and a member of this year’s RITC team. In an email interview, he shared some of his experiences from the competition.

He explained that in this year’s competition, the teams used a computer for five of the simulations, which included algorithmic trading, commodities, credit risk, exchange-traded funds and volatility. In the quantitative outcry case, teams traded face-to-face with teams from other universities.

“I participated in 5 cases in two days (three in the first day and two in the second) so I needed to make sure I had enough rest between cases (and food). After each case, I would tell myself to forget about what I just did and focus on the next case, and I always made sure that I had enough communication with my teammates,” Yin wrote.

For the Baruch team, Yin explained, it was Pickens who decided whose skills would work best in which scenario.

“Ultimately, I decide who’s going to go what of it,” Pickens said. “It’s sort of clear because there’s different styles of trading based on how much liquidity is in the market and how certain the students are of their strategy.”

While the RITC attracts a lot of competition, none of the teams know their rank until the award ceremony on the third day of the competition. Thus, the only indication of the team’s success during the competition is each member’s confidence in his or her own skills.

“In addition to those trading techniques I learned from the competition … the most important thing I took out of it is how you make an executive strategy,” Yin wrote. “I did not capture maximum profits during the competition but I never made mistakes, and I think that is why we won.”

March 27, 2017

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