PENN-LEHMAN LIVE DATA COMPETITION PLOTS
DECEMBER 18, 2002
MARKET CLOSED; PLOTS ARE FINAL
COMMENTARY: It was a wild ride at IRCS today... The stock took a beating early in the day, possibly on news of W's steely-eyed remarks towards Iraq. (Don't you wish you'd coded up that strategy that scraped the NY Times web site for breaking world events news?) The MSFT fall took many a strategy deep under water, and by mid-day things were looking depressing indeed. But volatility returned in the afternoon, and a late rally to close the market brought several of you back into the black after a long visit to the basement.
There were a number of dramatic reversals of fortune compared to the historical competition, but also some consistency worth noting as well. In particular, of the 5 strategies that use order book data in some way (recall 4 of these were the top finishers in the historical), 4 were profitable for the day, one was the highest earner overall, and the losses of the one ending in the red were modest. There seems to be something to investigate here, and we'll be doing it next term.
Overall, 7 of the 11 strategies fielded finished the day in the black, and 4 lost money. There were four strategies that managed to end in the black on all three historical days as well as the live day, all of them in the red pool. Also, this time no strategy violated the 100,000 share position limit. Share position limit saturations were better than the historical competition as well, with all but 2 teams hitting at least half the limit at some point during the day.
At some point we will provide additional analysis and data of interest regarding the live competition, including an analysis of how much client-client versus client-Island trading took place.
The two tables below summarize the final P&L and maximum share position (in absolute value), separated by pool. Please note that the values in the tables below are official, and may show slight discrepancies with the final values on the plots that follow. This is due to some plots not incorporating the final couple of ticks of the day.
Following the tables are the P&L, share and MSFT price plots for each team, along with some commentary on each strategy's behavior over the day.
RED POOL, FINAL RESULTS:
|RED POOL RANK||TEAM MEMBERS||P&L (|MAX SHARES|), in thousands||DESCRIPTION||HISTORICAL RANK|
|1||Lao, Leung Wong||29.6 (72)||Case-based learning on top of basic SOBI||3|
|2||Angel, Hausman||15.0 (55)||Geometric trend lines||9|
|3||Mahesh||6.1 (72)||Standard deviation SOBI||1|
|4||Kadakia, Vora||1.9 (25)||Volatility-based MM||7|
|5||Morgovsky, Sharma||-32.5 (50)||Moving average trends||5|
BLUE POOL, FINAL RESULTS:
|BLUE POOL RANK||TEAM MEMBERS||P&L (|MAX SHARES|), in thousands||DESCRIPTION||HISTORICAL RANK|
|1||Yu (UT Austin)||24.8 (70)||Simple trend prediction||8|
|2||Yu, Zhang||5.8 (62)||Long-short with SOBI||4|
|3||Chi, Koltunov, Luss, Trinh||4.6 (85)||Volatility-based SOBI||10|
|4||Lowenstein, Rowin, Schwartz, Skolnick||-5.5 (65)||SOBI-moderated MM||2|
|5||Chavez||-13.7 (80)||Crossover moving average||11|
|6||Jawaid, Shah||-15.9 (33)||Breakouts & moving avg||6|
PLOTS AND COMMENTARY FOR EACH TEAM: