Spring 2023 Recap
Dear SIF Community,
We are excited to present our Spring 2023 update with you. From strong advances in research and infrastructure endeavors to new educational and competitive opportunities, we are proud of the progress we have made this semester.
Projects
SIF Quant members worked on a variety of projects across different verticals and niches. Summaries of these projects are listed below.
Sanjeev Devarajan worked on introducing new sources of alternative data into the SIF infrastructure, including government financial data and non-stock corporate data. These sources open the door to new potential trading strategies.
Richard Zha worked on validating the results of his GAMLSS statistical model for day ahead power prices in California. Additionally, he is working on a report to give an overview of his work over the past year.
Ocarina Lin looked into quantamental investing, which combines quantitative and fundamental analysis to develop optimal stock selection strategies. She created an alpha based on the Dividend Discount Model and looks forward to integrating company valuation analysis in trading algorithms.
Sam Galita and James Zhang applied their pairs trading framework to non-SIF datasets for use in Leo Liu’s multi-market comparison research. In doing so, they tested their strategy on a variety of non-equity and non-US markets.
James Zhang devised a hybrid trading strategy that dynamically switched between pairs trading and momentum based trading based on the behavior of the time series as mean reverting, random walk or trending. He plans to work with Suryaa Rajinikath next semester to improve the pairs trading methodology by applying time series forecasting models.
Kaushik Vejju and the Internal Tools team added additional features to improve user experience on SIFSearch. These features include searching through code blocks in uploaded Jupyter notebooks, searching by file types, tagging search items, and editing and deleting uploaded search entries.
Vikas Reddy created a Python module that accesses and cleans Federal Reserve Economic Data (FRED) for use in SIF trading strategies. This module opens the door for researchers to capitalize on macroeconomic data to build robust factor models.
The Live Trading Infrastructure team continued their work on high frequency alpha development. They developed a backtesting platform for minute candle data as well as continuing the development of a system for forward testing higher frequency strategies against live market data.
Rohan Uttamsingh started development on an alpha platform and backtester for cryptocurrencies. This posed unique challenges that SIF has not previously tackled. For instance, because of the lack of market makers to set the bid and ask, a backtester has to take into account that if the orders were actually placed on the exchange, future orders would have been impacted.
Spring Lecture Series
As an evolution of our annual spring lecture series, we welcomed several UMD professors who lectured on various topics in theoretical and applied finance, giving our members deeper academic and industrial viewpoints in key areas and providing opportunities for networking and further discussion. Prof. Pete Kyle, who founded and taught the new Computational Finance Minor, gave a lecture on a new model he developed for market crashes and their impact based on market microstructure. Prof. Giacinto Saggese, an experienced entrepreneur, delivered a lecture on the applications of Web 3 and cryptocurrency, while giving excellent advice on startups and business success. Finally, Prof. Seokwoo Lee, also teaching in the Computational Finance Minor, gave an in-depth theoretical lecture on how model uncertainty impacts an investor’s ideal capital structure. The club members greatly enjoyed these lectures, and we hope to continue expanding and diversifying our lecture series in the coming semesters.
Competitions
SIF Quant members participated in three quant competitions over the course of the Spring semester – The UChicago Trading Competition, Optiver Ready Trader Go, and IMC Prosperity. Darius Kianersi, Omkar Pathak, Vijay Sundarapandiyna, and James Zhang represented SIF at the UChicago Trading competition. Kianersi had the following to say about the competition:
We had a few weeks to code up trading bots in Python that would maximize Sharpe ratio or portfolio value using any strategy of our choice. The competition culminated in the in-person event in Chicago, where we had the chance to compete with our bots against the other teams live and network with traders and recruiters. We fell into a groove of literature review, implementation, evaluation, and iterating on the results. Questions like, "How can we hedge our long straddle position using Delta and Gamma?" went from alien to answerable to me over the span of the competition period, and we even bonded with the other teams who were up until the early hours of the morning debugging their bots. The competition left me with a more personal understanding of quantitative finance and insight into the strenuous but rewarding work of traders, and I wouldn't hesitate to participate again.
Abhinav Modugula, James Zhang, and Samuel Galita competed in Ready Trader Go, an online competition that challenged teams to develop an automated market making bot that could place bid and ask orders on a simulated exchange directly against other teams’ bots. The SIF team learned about how market makers operate and provide liquidity to the market and experimented with writing their own algorithms to optimize our bot’s performance and profitability.
Finally, Rohan Uttamsingh and Ravi Panguluri participated in Prosperity, which was a similar competition to Ready Trader Go, but the bots did not compete directly with each other. Instead, each round unveiled new securities that posed new challenges, and teams were challenged to use a small amount of sample data to develop trading algorithms that would perform well on unseen data. The team hopes to bring their newly developed knowledge of market making back to SIF to develop crypto trading strategies next semester.
Conclusion
This semester was a resounding success; we look forward to expanding on this semester’s success with continued research and infrastructure development next year.
We give our heartfelt congratulations to Peter Geertsema and Abhi Modugula on graduating. We will deeply miss two experienced guides, dependable teammates, and sincere friends, and we wish them both the best for their bright futures.
For the coming year, Sumit Nawathe will be serving as club president, with former presidents Rohan and Kwabena remaining as senior leadership advisors. We hope to expand club leadership to other experienced members in the fall semester.
Thank you once again to our members, alumni, and readers for your continued support of the Smith Investment Club. We look forward to what exciting opportunities await us in the coming semesters.
Best,
SIF Quant Executive Team
