RCM-X Bridging Academia and the Financial Sector

RCM continues its long-standing and important support of education again for the Spring 2018 Practicum continuing the tradition of bridging academia and the financial sector. Students and faculty from 3 of our prestigious university programs gathered at Chicago’s CME Group Headquarters, including final presentations from the Notre Dame Student International Business Council (SIBC), The University of Illinois Masters of Financial Engineering students, and Carthage’s Business Agriculture Program.

Also in attendance: Board Members Joe Signorelli and David Don (CIO/Head of Algorithmic Trading RCM-X), Tara Begeman from Polaris 7, and Larry Lai, CRO of Catalyst, Morton Lane (UIUC), Alex Lau (Carthage), Joe Gits (CEO) and Jeff Blaschak from program partner Social Markets Analytics (a leader in providing sentiment data feeds to the financial community, who contributed their expertise to the University of Illinois project this term).

Here’s a preview of each university’s presentation:

University of Notre Dame

  • Notre Dame students analyzed three different asset classes and applied a unique trading strategy to each one
  • Each team researched and analyzed various signals and geopolitical factors affecting their asset
  • They also modeled strategies provided returns and analysis, as well as other considerations for post-project research

Notre Dame Presentation

Carthage College – Soybean Crush

Carthage students chose to build on a John Mitchell academic paper (2010) but updated the strategy for current market conditions & improved technology. Enhancements included the use of Strategy Studio and added parameters that decreased slippage and added controls.

Additionally, they determined:

Mean reversion can be profitable

  • Control breakout periods
  • Optimize for past & future volatility

UIUC – Crypto and Social Market Analytics

The University of Illinois Masters of Financial Engineering students selected the challenge of harnessing the power of Social Market Analytics and the very popular Cryptocurrency space for their project. Combining Ladislav’s research(2013) and the work of David Garcia & Frank Schweitzer(2015), and adding SMA’s analytics, The team evidenced actionable correlation between social media and market factors. Using Strategy Studio, the UIUC students were able to implement their strategy and had a cumulative return of 676.53%, among other impressive results.

Special Thanks to Barbara Schmidt-Bailey and the CME for the use of their facility and to the superb contributions of Matt Racine, Chris Homa, and Nate Pawelczyk of RCM for serving as coordinators for the University Program.

 

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