Had a great time at my first Hackathon last weekend! I won the Optiver challenge at Hack the Burgh 7 along with my teammates George, James, and Vlad all from the course at Bath. The challenge was to produce an algorithm to perform market making trades on a simulated exchange of one composite basket, and two underlying stocks (which combined made up the basket). The challenge was in placing trades that made money from the spread, so when the price of the basket differed from the sum of the prices of the underlying stocks. Teams were rated on profit and loss (PnL) and then on the effectiveness of their algorithms in long term performance. I actually thought we had no chance as our PnL was nowhere near some of the other teams on the leader board, but it appears we had actually implemented the challenge correctly, while the other teams were working on exploiting some of the worse algorithmic traders to bump their PnL, something that wouldn’t work so well on a real exchange. Altogether it was great to hack on something over the weekend, and a nice challenge to tackle.

Aside from that, the last week has been a wash out. It was consolidation week for the department, so no material was given out. I had plenty to do, but sitting down to work felt like wading in treacle. I need to get moving with my dissertation project proposal, a draft submission for that is due at the end of this week. Luckily I’m ahead on everything else that needs to be handed in, it would be good to get some steam back this week if I can.

I’ve been taking lots of walks and getting a lot of working out in though, so I’m trying to take care of myself as best I can. One of the things I love most about being out in the depths of the countryside is the Kite pairs I’ve seen floating about. There’s at least four kites I see carving around above the village semi-regularly.

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