Baruch MFE team ranks 3rd in the RITC 2011 Trading Competition

The Baruch MFE team ranked 3rd out of 50 teams representing 46 academic institutions from four continents in the eighth annual Rotman International Trading Competition (RITC) that took place in February 2011 at University of Toronto. Top Five:

1. M.I.T.
2. University of Chicago
3. Baruch College/ Baruch MFE
4. Northwestern University / Kellogg School of Management
5. University of Toronto / Rotman School of Business

The Baruch MFE team won the High Frequency Algorithmic Trading section of the competition in a decisive fashion (finishing first twice and second once in the three final heats), and placed among the top 5 teams in three other trading contests (of a total of six):

1st place: High Frequency Algorithmic Trading
3rd place: Sales and Trader
3rd place: Quantitative and Event Driven Trading
5th place: Interest Rates Trading

Our students performed at a remarkable level of consistency, never ranking below 16th out of 50 teams in any of the six trading contests, and formed a real TEAM.

The team was trained by Mr. Eugene Krel (Baruch MFE’09 and Quantitative Brokers; member of the first Baruch MFE team at RITC 2009).

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The Baruch MFE Team:

Ms. Amanda Kotler (Baruch MFE’11, MBA UPittsburgh’06, M.Eng UToronto’05) is interested in quantitative strategy and analytics. She has both buy- and sell-side experience: She worked as a research coordinator at Renaissance Technologies’ Meritage Fund where she constructed simulations of ETF trading strategies. She previously traded prop at Assent LLC, worked on equities and structured products at Auriga USA and in institutional sales and equity research at Caris and Co. Her unique background allows her to understand the facets of the investment making decision while her past experience has allowed her to develop the skills necessary to support a multi-disciplinary team. She holds Series 7, 55, and 63 licenses. Amanda now works in risk management at Morgan Stanley

Mr. Yike Lu graduated from Caltech with a BS in Physics and received Baruch’s Ercolano award for best mathematics graduate student. He is currently doing an internship with Rob Almgren at Quantitative Brokers, an algorithmic interest rate brokerage, where he created a mean reversion filter and upgraded the firm’s economic event infrastructure. A key member on Baruch’s 3rd place Rotman International Trading Competition team, Yike developed the team’s 1st place algorithmic trading strategy. Yike is interested in joining a quantitative trading firm where he can best employ his mix of programming knowledge (q/KDB+, C/C++, R), quantitative skills, and trading intuition.

Mr. David Rappaport has a bachelor’s degree in Computer Engineering from Syracuse University with minors in mathematics and electrical engineering. David recently interned at Bank of America Merrill Lynch in Global Execution Services on the Equity Execution Consulting desk. While at BofA, he performed multiple analyses for buy-side traders at various hedge funds. His work dealt with both pre-trade cost estimates and post-trade performance analytics. Prior to his internship, David worked as a senior systems engineer at the Sensis Corporation performing R&D contract work for NASA. David is currently working on developing algorithmic trading strategies using a combination of time series modeling and machine learning techniques.

Mr. Alexei Smirnov has a computer science and biology dual degree from Binghamton University – SUNY. As a member of the Baruch MFE team at the Rotman International Competition (3rd place out of 50 teams), he co-designed the trading algorithm that gave the team first place, by a wide margin, in algorithmic trading, and created the team’s news-based Natural Gas Futures trading model. Alexei also created the team’s practice environment, which was essential to the success of the team. Alexei is currently working on novel portfolio optimization techniques at Winged Foot Capital. He is experienced in conducting statistical analysis for financial applications in C++, VBA and R, and is interested in fundamental and quantitative trading techniques. Alexei is highly capable and focused on delivering the highest quality results.
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