The International Association of Quantitative Finance (IAQF) announced last week that a team of University of Michigan Quant Program students is among the five winners of the Eighth Annual Academic Affiliate Membership Student Competition.
The competition, which attracts nearly fifty teams from twenty academic programs each year, tasked students with preparing solutions up to ten pages long in response to a problem dealing with credit spreads (available here). A panel of IAQF Board Members evaluated submissions in a blind, multi-level selection process and selected five teams as winners. Among the winning teams was the University of Michigan’s Team Submartingale, which included Quant Finance students Rick Yuankang Xiong (team captain), Hui Cai, Israel Diego-Guerra, Yifei Lu, Xinye Xu, and Yuan Yin.
Team Submartingale met weekly to research and prepare their solution, and they drew heavily on their graduate courses to inform their work. They cited several core Quant Program courses (Time Series Analysis in Finance, Financial Mathematics I and II) as particularly helpful, as well as electives in Machine Learning and Stochastic Modeling.
According to Team Captain Rick Xiong, “Machine learning and time series forecasting were very exciting topics for all of us, so everyone was highly motivated to complete their assigned portion of the work and to optimize our quantitative methods. We tried to make full use of different machine learning approaches and data sources based on the features of our credit spread forecasting problem and selected them based on the economic and statistical significance. Some methods are clear in how they work, but we also tried some ‘black box’ methods, which was exciting territory for us.”
Xiong also applauded the team’s systematic way of working together, stating, “We made sure to apply the four-eyes principle to our work, which I think was crucial in ensuring accuracy.”
Since submitting their solution in February, four of the six team members have completed their master’s program and graduated in May. Hui Cai returned to his hometown of Shanghai to start his position as a Market Data Analyst with Bloomberg, while Rick Xiong accepted a position with State Street in Hangzhou. This month, Yifei Lu joined MSCI’s model validation team in Norman, Oklahoma. Yuan Yin has been accepted into Illinois Institute of Technology, where she will begin her PhD in Mathematical Finance in September.
The remaining members, Xinye Xu and Israel Diego-Guerra, will return to Ann Arbor in the fall to complete the program. They are currently interning at DWS and PNC, respectively.
Team Submartingale is the first U-M Quant Program team to participate in the competition since the Quantitative Finance and Risk Management Program joined IAQF as an affiliate member at the end of 2018. The other winners included teams from Carnegie Mellon’s Master’s in Computational Finance Program and Johns Hopkins University’s Applied Mathematics & Statistics Graduate Program.