IEEE CIFEr 2014 Competition

CIFEr 2014 Trading Competition Sponsor

Overview

The CIFEr Trading Competition provides the opportunity for students and other participants to demonstrate quantitative portfolio management skills and computational intelligence techniques in a realistic but simulated trading environment. Each team will be given a basket of stocks and options, which must be held for the full duration of the tournament, and a quantity of cash, which may be used to purchase options to hedge the static portion of the portfolio.

Trading will be done through a web interface on a simulated market with stylized facts that match the real markets. Asset prices will be revealed at London close each trading day. Teams will have until the next price reveal to enter trading actions.

The objective is to come as close as possible to matching a 1% annualized return over six weeks of trading. An asymmetric and cumulative error function will be used to assess tracking performance.

Blog

It is possible to keep up to date with the trading competition through the official CIFEr 2014 trading competition Blog.

Rules

Simplified rules:

For a trade to be initiated, the required amount of cash must be present in the portfolio.
Teams cannot trade assets in their initial portfolio.
Teams may not trade any asset more than once a day.
Teams may not trade any asset that currently has a value of zero dollars.
The value of short sold assets must not exceed $22 million dollars.
Teams must have at least 30% of all shorted assets' value in cash at all times.

Detailed rules can be downloaded here.

To allow for participants to train strategies offline, a simulated training data set is available for download. The data set contains the initial position and also the stock and option market from the period 13-Jan to 21-Feb.

Training data set can be downloaded here (xlsx format).

Registration and Key Dates

The competition is open to all, independent of registration for CIFEr 2014. Prize winners, however, must agree to attend the conference banquet and competition panel session. Each individual or team may enter the competition only once.

Registration Opens - 11 December 2013

Registration is available at the CIFEr 2014 trading competitiong site.

Prizes

The following prizes will be awarded at the CIFEr 2014 banquet:

First Prize -- £1000
Second Prize -- £500
Third Prize -- £250

Prize winners will be invited to share their strategies, methods, and insights as part of a special panel session on the competition. Additionally, the algorithms used to generate market data will be revealed during this session.