It started in a McDonald’s. After registering for the annual CME Group Trading Challenge, a team of four students in the Mathematical Finance program—a team that would ultimately place first nationally and second globally in the challenge—sat down to lunch at the fast food restaurant in Kenmore Square. They noticed a scratch on their table that closely resembled a lighthouse and, at that moment, Team Lighthouse was born. It was the first of many real-life observations that would direct them through an intense competition and perhaps the easiest consensus of the four-week challenge.
“We liked the symbol of a lighthouse,” said Lingchen Guo (MSMF’15), an analyst on the team, “and thought that it sounded like the name of an actual futures company.”
With their team name chosen, Lingchen (Frank) Guo (MSMF’15), Sarah Hochstatter (MSMF’15), Duyong Lee (MSMF’15), and Anastasios (Tassos) Mallis (MSMF’15) began their path to victory in the CME Group Trading Challenge, a worldwide online competition where teams of undergraduate and graduate students trade a variety of CME Group products from multiple asset classes in a simulated trading environment.
Occurring on a real-time professional trading platform provided by CQG, CME Group’s Trading Challenge, hosts a growing number of teams and countries each year. In 2014, nearly 400 teams from 31 countries participated, including four other BU teams.
The diversity of the competition can be seen in Team Lighthouse itself, whose four members come from the US, China, Korea, and Greece. Their range of backgrounds worked to their advantage, giving them knowledge of foreign exchange, one of the six asset classes in the challenge.
The Trading Challenge lasts four weeks and includes a practice round, a preliminary round, and a championship round. Over the course of the competition, the team’s analysts, Guo and Hochstatter, carefully watched market news, anticipating fluctuations, spikes, and drops. The pair reported their findings to Lee and Mallis, who traded based on these market reactions—and their own gut reactions.
Nerves of steel
Mallis took the night shift, trading from midnight to 7 a.m., and though he lost a lot of sleep, he didn’t lose much money, making responsible but substantial trades in the early market hours. It was Lee who took chances during his 8:30 a.m. to 4 p.m. shift. As Mallis puts it, he made the small trades that laid the foundation for Lee, who built higher and higher upon it.
“You need to lay ground so you can begin to construct buildings,” Mallis said. “Duyong constructed tall buildings. He has nerves of steel.”
The traders made educated orders and trusted in the strategy that Guo and Hochstatter devised. With adjustments made from the preliminary round to the championship, their strategy earned them a spot in the winner’s circle. Team Lighthouse placed second in the world and first in the US.
“It was about having the stomach to believe in your strategy,” Mallis said.
Learning from everything
From meeting deadlines to delegating functions to communicating properly—whether that meant providing helpful market information or simply texting the group in a timely fashion—the team learned a number of lessons about succeeding in the marketplace.
“The competition combined fundamental and quantitative knowledge,” Mallis said, “and we learned a lot from our Program’s courses.”
Led by Executive Director Dr. Ahmad Namini, who emailed students encouraging them to join the CME Group Trading Challenge, the MS in Mathematical Finance (MSMF) program is a 17-month program including a summer internship that focuses on the three disciplines of finance, applied mathematics, and computer science. The results create candidates with core competencies in creating effective investment strategies, quantitative analysis, and risk management. Each January the graduates start their careers in investment banks, commercial banks, trading firms, and even financial technology and insurance companies. The Program is one of the pioneering programs, which brings hard-to-find talent to the financial industry.
Team Lighthouse’s journey will end a long way from the scratched McDonald’s table they started at. Placing in the top four they collect a cash prize and an invitation to visit Chicago for CME Group’s Day of Market Education. The invitational conference provides students with an exclusive look into CME Group and the financial industry. Business experts will deliver presentations relevant to the global marketplace, and attendees will view live open outcry trading, learn about CME Group’s electronic trading platform, CME Globex, and join industry leaders for a networking reception and dinner.
SMG’s Mathematical Finance program climbs three positions in Quantnet rankings
Boston University School of Management placed 14th on Quantnet’s list of the top master’s programs in financial engineering in North America, which represents a three-spot jump for the School.
The School’s 17-month Master of Science in Mathematical Finance program received a total score of 78, with 100 being perfect, missing the 12th position by only a point. It placed 17th in the previous Quantnet ranking.
The program, which integrates practical domains of mathematics with an in-depth study of the theory and practice of modern finance, has become increasingly competitive, and recognizes that, within three months of graduation, 80 percent of students received job offers.
Quantnet, an online resource that provides information on education and careers in financial engineering, surveyed program administrators, hiring managers, and quantitative finance professionals in order to compile its rankings.
Boston University School of Management welcomes Dr. Ahmad Namini. Dr. Namini joins the School as Executive Director of the Mathematical Finance (MSMF) Program, effective July 16, 2012.
In this role, Dr. Namini will play a critical role in refining the Program, with a special focus on expanding industry connections, creating student internships, and fostering successful job placements. He will also work with Finance faculty to develop and implement strategies that will have a major impact on the future success of the Program.
Dr. Namini comes to the School with a wealth of experience in the financial services industry. He has worked with Deutsche Bank, the Fortress Investment Group and, most recently, with the Citigroup Global Markets in Hong Kong, where he was Head of the Quantitative Analytics and IT teams in the Emerging Markets Credit Trading unit. He is also a graduate of the Boston University Mathematical Finance Program, and has a PhD in Computational Mechanics from the University of Maryland. Previously, Dr. Namini has taught in the School’s Math Finance Program and advised students on corporate-world applications of mathematical finance.
Boston University School of Management students from the Mathematical Finance Program gave a strong showing at the first annual International Association of Financial Engineers (IAFE) Competition. The event was open to students enrolled in mathematical finance and economics (or related) programs at schools that are IAFE Academic Program Affiliates.
Twenty-seven teams from fifteen financial engineering programs entered the competition. They were tasked with solving a challenge related to the analysis and modeling of financial crises and sovereign risk, which was selected for its rigor and relevance by the Honorary Chair and IAFE Board of Directors.
The Boston University Math Finance Team included Ning Cheng, Jianing Liu, Quang Pham Huy, Jessica Ahn, and Sichares Suppapanya (all MSMF ’12).
The winning team, from the University of California, Berkeley, was announced at the Financial Engineer of the Year Dinner in New York City on February 2nd, 2012. They were awarded a $1,000.00 prize and an invitation to present their solution at a future IAFE event in New York.
During the fall 2011 semester, the Mathematical Finance Program held a series of social events, including our Power of Ten celebration and conference, a speaker series, and our annual holiday party for first- and second-year students. The program also hosted various social gatherings such as Pub Nights at the BU Pub and Cornwall’s and trivia night at The White Horse in Allston. Get more details below, including a slideshow with pictures from these events.
The Power of Ten: Math Finance Anniversary Celebration and Conference
Saturday October 1, 2011
This event, held at Boston University School of Management, was a huge success, drawing approximately 150 Math Finance students, Finance faculty, and BU community members. The day included:
Lunch for alumni
Conference and Panel of Speakers:
“Chasing Bernie Madoff”: Harry Markopolos, Independent Financial Fraud Investigator and Bernie Madoff whistleblower
“A Reflection of Financial Crisis”: David Ye, Chief Risk Officer for State Street Global Markets
“A New Measure of Systemic Risk: Applications for Investors and Regulators”: Mark Kritzman, President and Chief Investment Officer of Windham Capital Management
Mathematical Finance Alumni Career Panel:
- Alex Brill, (MSMF ’01), CEO, Matrix Global Advisors; Research Fellow, American Enterprise Institute
- Nidhi Azar (MSMF ’01), Risk Manager, Fixed Income Credit, Barclays Capital
- Brandon Farr (MSMF ’04), Vice President, Investment Risk Management State Street Global Advisors
- Cel Kulasekaran (MSMF ’04), Senior Research Associate, Windham Capital Management
- Leon Zhang (MSMF ’07), Financial Risk Manager, Everbright Securities, Co, Ltd.
- Christopher Glynn (MSMF ’09), Jr. Quantitative Research Analyst, Boston Advisors
- Olesya Shubov (MSMF ’09), Assistant Vice President, Strategy Advisory Group, Jennison Associates
Program Reception, School of Management Atrium
Alumni Celebratory Dinner, Trustees’ Lounge
See pictures from this event in our slideshow.
MF Program 2011 Speaker Series
- November 7, 2011: Dmitry Kiselyov, CFA Manager, Complex Securities Group, Ernst & Young, LLP, “Valuation of Credit Instruments”*
- October 24, 2011: Simon Tuck, Director, Catastrophe Management, Liberty Mutual, “Catastrophe Insurance: Quantitative approach”*
- October 7, 2011: Kishore Karunakaran, President and Chief Operating Officer, FFCM LLC, “Market Neutral ETFs and Their Applications
- September 23, 2011: Dragan Skoko, Director, Trading, Batterymarch Financial Management, Inc., “The Anatomy of a Buyside Trading Desk.” This talk was followed by a reception.
- August 31, 2011: Crystal Fantry, Senior Educational Outreach Specialist, Wolfram Research, “Introduction to Mathematica”
- August 3, 2011: Francesco Pasquariello, Sales Representative, Bloomberg, “Introduction to Macro Tools and Single Security Analysis”
- May 3, 2011: Tarek Eldin, Head of Quantitative Research, Geode Capital Management, “Quantitative Analysis for Asset Management”*
- April 28, 2011: Matthew Appel, CFA, Vice President, Risk Services, State Street, “Investment Analytics”*
*Talk arranged by Kateryna Kruzement-Prykhodko (MSMF, January 2012)
Get more recent MF news and pictures in the news story “Mathematical Finance Program’s Latest Statistics“