NYU Tandon’s Finance and Risk Engineering students win big yet again
Tandon team took top honors in the International Association for Quantitative Finance’s annual student competition
For the ninth consecutive year, students from Tandon’s Department of Finance and Risk Engineering (FRE) have triumphed in team competitions against other universities with similar academic programs.
This year a Tandon team took top honors in the International Association for Quantitative Finance’s annual student competition, pitted against twenty-seven teams from twelve universities
The event asked competitors to display their knowledge of risk-neutral probabilities by evaluating the usefulness of using trading options to construct the probability distributions of future returns — a method that originated in the late 1970s. Participants were asked to consider what these estimates tell investors about the future. Do they contain information that helps to predict future returns, volatilities, reversals? Are there effective trading strategies based upon the estimates? Can they be combined with additional data/approaches to enhance the effectiveness of a trading strategy?
When the more than two dozen team papers had been submitted and evaluated, a Tandon team — coached by newly retired Professor Ronald Slivka and directed by FRE Program Manager Zahra Patterson — was once again among those taking home top honors. (Rather than identifying traditional first, second, and third place winners, the IAQF deems a subset of the entries "first place.")
Team Techno Traders consisted of Minzhe Feng (student captain), Xiaochang Cheng, Jingru Fan, Bingbing Ke, Junhao Mai, and Yixin Xu, and their winning paper was titled “Directional Forecasts with Risk-Neutral Probabilities and Skewness-Based Trading Strategy.”
“Each year, the IAQF presents engaging and thought-provoking challenge topics, and this year was no exception,” said Slivka. “Preparing for the competition required a substantial amount of our students’ time and superior work as a team. In the end, they excelled at blending theory and practice to come up with ideas that were both Out-of-the-Textbook and Out-of-the-Classroom. While our department is delighted to have another significant accomplishment, the best prize Team Techno Traders brought back to Brooklyn is a positive learning experience and added value in their career development. The financial industry will be lucky to have them as practitioners.”