*********************************
There is now a CONTENT FREEZE for Mercury while we switch to a new platform. It began on Friday, March 10 at 6pm and will end on Wednesday, March 15 at noon. No new content can be created during this time, but all material in the system as of the beginning of the freeze will be migrated to the new platform, including users and groups. Functionally the new site is identical to the old one. webteam@gatech.edu
*********************************
Atlanta, GA | Posted: January 23, 2015
Tyler Sharp
PR and Social Media Officer
Summary Sentence:
Two hedge fund strategies powered by algorithms designed at Lucena Research Inc., a Georgia Tech startup founded by Professor Tucker Balch of the College of Computing and entrepreneur Erez Katz, placed first and second in an international competition
Full Summary:
No summary paragraph submitted.
Tucker Balch compressedTwo hedge fund strategies powered by algorithms designed at Lucena Research Inc., a Georgia Tech startup founded by Professor Tucker Balch of the College of Computing and entrepreneur Erez Katz, recently placed first and second in an international trading competition.
The tournament, called BattleFin, was designed by Wall Street traders Tim Harrington and Brian Tomeo as a way to find new hedge fund talent.
According to Bloomberg, hedge funds returned only 2 percent on average in 2014, their worst year since 2011. As 2015 begins, funds are shutting down at a rate not seen since the financial crisis with 461 funds closing in the first half of 2014. BattleFin is one way Wall Street is seeking new talent.
"We decided to address the massive brain drain from Wall Street to Internet start-ups by building an incubator to find the smartest people in the world and give them access to capital,” Harrington said. “The platform allows them to trade their investment strategies in a fun and competitive way.
The trading competition, which ended Dec. 31, 2014, ran for three months and attracted participants from around the globe. Lucena-designed strategies snagged the top two spots in the Pro division.
The two strategies, codenamed "BlackDog" and "TieBreaker" were built by Balch, Katz, and their team at Lucena using Big Data and Machine Learning. The strategies significantly outperformed the market and topped the competition of 15 other funds over the last 3 months. BlackDog, for instance, returned over 25% in 2014.
"We've built a sophisticated software and supercomputing infrastructure
that allows us to quickly build and test candidate strategies,” Balch said. “BlackDog
and TieBreaker emerged as the best among many hundreds we've tested over
the last few years."
Lucena is an Atlanta-based financial tech firm that employs experts in computational finance, quantitative analysis, and software development that grew from Georgia Tech and graduate from the FlashPoint incubator.
