Algothon 2018

@ BlackRock

20 October 2018 - 21 October 2018
BlackRock Office, London, United Kingdom

EVENT COMPLETED

About

Algothon 2018 in partnership with BlackRock is the inaugural event of the 2018/19 academic year organised by the Imperial College Algorithmic Trading Society. We’re excited to bring you 24 hours of intense hacking, bringing 200 of the brightest minds together to produce incredible new financial technology.

The event will be held in the offices of BlackRock, one of the most highly respected financial technology companies operating today. In addition to the main event, we’re delighted to offer several talks from field leading researchers in machine learning, as well as workshops to get you up to speed on some of the most exciting new technologies and practices in the field.

This will be an incredible weekend, producing amazing new technologies, learning from some of the best minds in the field, and overall having a great time!

Guest Speakers


We’re incredibly happy to be offering several talks from some of the industry's leading researchers in the field of machine learning.

Professor Arnaud Doucet

Prof. Doucet of Oxford University will bring his world leading expertise on Monte Carlo methods.

Dr. Andrei Kirilenko

Dr. Andrei Kirilenko is the Director of the Centre for Global Finance and Technology at the Imperial College Business School.

Dr. Anil Anthony Bharath

Dr. Anil Anthony Bharath (FIET) is a Reader at Imperial College London. He is a Fellow of Imperial College Data Science Institute and a co-founder of Cortexica Vision Systems. His research interest is in deep architectures for inference.

Dr. Shweta Agarwal

Dr. Shweta Agarwal is Vice President for the Risk and Quantitative Analysis Group at BlackRock.

Pierre Sarrau, CFA

Pierre Sarrau, CFA, Managing Director, is Chief Investment Officer for Multi-Asset Strategies at BlackRock.

Brendon Smith

Brendon Smith, Managing Director, is Head of Alpha Gen Technology within Investment Systems, Aladdin Product Group at BlackRock.

Dr George Poyiadjis

Dr George Poyiadjis, PhD, Director, is the lead researcher of Relative Value strategies for BlackRock's Systematic Fixed Income Group (SFI).

Tom Morris

Tom Morris, Managing Director, is a Quantitative Hedge Fund Portfolio Manager at BlackRock.


Judging

Categories

Quandl Challenge

The Quandl challenge required particpants to make use of the datasets that were generously provided by Quandl for the Algothon. Apart from the use of the datasets, participants were free to create anything they wanted.

Reuters NLP Challenge

The Reuters NLP forcasting challenge supplied participants with a large dataset consisting of the bid and ask prices of a custom ticker over a large date range, as well as more than a decades worth of reuters articles. Participants were required to use the articles to produce a model of the ticker, then forcast its behaviour over the first half of 2018 without using any additional data.

Freestyle Challenge

The freestyle challenge allowed participants to use any methods or data sources, as long as they did not fall into either of the other categories.

Criteria

CRITERIA BASE MARKS PRESENTATION MARKS
What is the Alpha gen potential of the tool/model? 7 3
How viable is it to fully implement the tool/ model into a real system? 7 3
How original is the idea? 7 3
How expandable is the idea?​ (More general ideas are better) 7 3
How will this performance in different market conditions? 7 3

Judges

Dr. Andrei Kirilenko

Director of the Centre for Global Finance and Technology, Imperial College Business School

Dr. Anil Anthony Bharath

Reader, Imperial College London, Fellow of Imperial College Data Science Institute, Co-founder of Cortexica Vision Systems

Anne Louise Burnett

Centre Manager for Global Finance and Technology, Imperial College Business School

Brendon Smith

Managing Director, Head of Alpha Gen Technology within Investment Systems, Aladdin Product Group, BlackRock

Tom Morris

Managing Director, Quantitative Hedge Fund Portfolio Manager, BlackRock

Dr. George Poyiadjis

PhD, Director, Lead Researcher of Relative Value strategies for BlackRock's Systematic Fixed Income Group (SFI)

Dr. Shweta Agarwal

Vice President, Risk and Quantitative Analysis Group, BlackRock

Alexander Remorov

Researcher, Systematic Active Equities (SAE), BlackRock

Joe Arrowsmith

Imperial College Algorithmic Trading Society (President)

Nuri Cingillioglu

Imperial College Algorithmic Trading Society (Head of Trading)



Winners

1st Place

BlackLENS

2nd Place


Quandl Challenge Winner

AlphaBet

3rd Place

TMT

Reuters NLP Challenge Winner

Algothon_Georgeteam

Freestyle Challenge Winner

Axolotl



All Algothon 2018 Submissions



Details


Schedule

Day 1

  • Registration and Hackers Setup

  • Introduction Talk and Team Formation

  • Hacking Starts

  • Workshops and Talks

  • Lunch (First Group)

  • Workshops and Talks

  • Lunch (Second Group)

  • Workshops and Talks

  • Dinner and Networking

  • Sleep Area Opens

  • Late Night Table Tennis Competition and Codelympics

Day 2

  • Midnight Snacks and Pizza

  • Breakfast

  • Sleep Area Closes

  • Hacking and Data Challenge Ends

  • Lunch

  • Demo Fair

  • Judging and Careers Talk

  • Finalists Presentations and Prizes

  • End of Algothon 2018

Code of Conduct


TL;DR. Be respectful to all involved in or present at the event. Harassment and abuse are never tolerated. If you are in a situation that makes you uncomfortable at this event or directly in relation to this event, if the event itself is creating an unsafe or inappropriate environment, or if interacting with any person(s) involved in or present at the event makes you uncomfortable, please report it using the procedures under this section.


We believe that every single person has the right to participate and hack in a safe and welcoming environment.

Harassment includes but is not limited to offensive verbal or written comments related to gender, age, sexual orientation, disability, physical appearance, body size, race, religion, social class, economic status, veteran status, sexual images, deliberate intimidation, stalking, following, harassing photography or recording, sustained disruption of talks or other events, inappropriate physical contact, and unwelcome sexual attention. If what you’re doing is making someone feel uncomfortable, that counts as harassment and is enough reason to stop doing it.

Any person(s) involved in or present at the event asked to stop any harassing behaviour are expected to comply immediately.

Judges, mentors, volunteers, organizers, staff, and anyone else involved in or present at the event are also subject to the anti-harassment policy. In particular, attendees should not use sexualised images, activities, or other material both in their hacks and during the event. Staff (including volunteers) should not use sexualised clothing/uniforms/costumes, or otherwise create a sexualised environment.

If a participant engages in harassing behaviour, the organizers may take any action it deems appropriate, including warning the offender or expulsion from the event with no eligibility for reimbursement or refund of any type.

If you are being harassed, notice that someone else is being harassed, or have any other concerns, please contact a member of the organizing committee present at the event either in person or through email to the committee.

The organizing committee will be happy to help participants contact campus security or local law enforcement, provide escorts, or otherwise assist those experiencing harassment to feel safe for the duration of the event. We value your attendance.

We expect participants to follow these rules at the event venue, online interactions in relation to the event, event-related social events, and on supplied transportation if any.

Reporting Procedures

If you feel uncomfortable or think there may be a potential violation of the code of conduct, please report it immediately to a member of the organizing committee present at the event or through email to the organizing committee at algo.trade@imperial.ac.uk. All reporters have the right to remain anonymous.

Terms and Conditions

The organizers reserve the right to revise, make exceptions to, or otherwise amend these policies in whole or in part. If you have any questions regarding the code of conduct for this event, please contact the organizing committee by email at algo.trade@imperial.ac.uk.


Organising Team

David Reti

BlackRock Sponsor Team

Brendon Smith

BlackRock Sponsor

Joe Arrowsmith

Imperial College Algorithmic Trading Society
(President)

Peter Kovacs

BlackRock Sponsor Team

Ozzy Osman

BlackRock Sponsor Team

Vishaal Anandaraman

BlackRock Sponsor Team

Hanish Lalwani

BlackRock Crew

Katie Rumbles

BlackRock Recruiting

Rush Virdi

BlackRock Event Manager

Alyssia Radburnd

BlackRock Event Manager

Jocelyn Toppin

BlackRock Building Operations Manager

Andrew Clark

BlackRock AV Manager

Leon Gaffar

BlackRock IT Manager

Robbie Goodall

BlackRock Reception Manager

Laurynas Kazys

BlackRock Crew

Will Kennerley

BlackRock Crew

Ben Ambrose

BlackRock Reception Manager

Samuel Martin Frias

Imperial College Algorithmic Trading Society
(Treasurer)

Alfonso Parra Garcia

Imperial College Algorithmic Trading Society
(Secretary)

Michael Akintunde

Imperial College Algorithmic Trading Society
(Analyst)

Nuri Cingillioglu

Imperial College Algorithmic Trading Society
(Head of Trading)

Kaavya Sridhar

Imperial College Algorithmic Trading Society
(Marketing and Events)

Fangfang Hu

Imperial College Algorithmic Trading Society
(Technology: Front-End)

Edward Stables

Imperial College Algorithmic Trading Society
(Technology: Back-End)