[BEACON Ideation] Aurelia - Advanced Financial Market Modeling

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Challenge Overview

Welcome to the Advanced Financial Market Modeling Beacon Ideation challenge. The detailed rules for this challenge type are explained further below. In a few words, we ask for community feedback on the client problem, the feasibility to solve it through a Topcoder competition, and what parameters of that competition should be to amuse the community, and achieve the outcomes expected by the client. No traditional submission is required, we only expect members to discuss the problem in the challenge forum, and the $900 prize pool will be distributed subjectively among discussion participants based on the value of their inputs. To facilitate prize payments, please make a “dummy” submission to the challenge once you participate in the discussion.

The Client Problem

The client is an active asset management firm that is seeking to use publicly available trading data to improve its ability to effectively execute large trades while minimizing market impact. To do so they would like to take a data-driven approach to analyzing the effect of the sale or purchase of an asset on the price of the asset being traded.

In financial markets, market impact is the extent to which the act of buying or selling moves the price against the buyer or seller, i.e. upward when buying and downward when selling. It is closely related to market liquidity. If the amount of money being moved is large (relative to the turnover of assets in question), then the market impact can be several percentage points and needs to be assessed alongside other transaction costs (costs of buying and selling).

Provided in the challenge forum are historic daily and hourly trade data for a sample stock. Based on such data the client wants to analyse and forecast the impact of trade transactions on the stock cost.

Beacon Challenge Rules

Once registered to the challenge, look into the challenge forum. A number of discussion threads are open there with questions about the feasibility of solving the client's problem with the data they have, and meeting their expectations. If deemed feasible, the intention is to prepare and run the main competition as a “first-to-finish” data science competition: the first solution to achieve the set performance threshold will win. As a part of the present Beacon challenge we want to discuss what the best way will be to benchmark solution performance, and what the winning threshold should be.

To participate in this Beacon competition you just provide your thoughts in the forum threads, and participate in the discussion there. You are encouraged to upvote or downvote the ideas of other participants (while keeping in mind Topcoder Code of Conduct). As the discussion progresses, the copilot will draft, iteratively elaborate, and share with you the challenge details for the main competition, with the idea that working together we can count on your feedback, and further improve them. This iterative work will continue until the discussion, and preparation converges to the final rules of the main challenge; or the project is deemed infeasible.

To award your participation in this Beacon competition, the total prize pool $900 will be distributed by the copilot among the active and most useful contributions into the discussion, based on both on your up- and down-votes in the forum, and also based on the subjective copilot judgement (notice: the header of challenge page shows the prizes as $750 first and $250 second place, due to the platform limitations, but the actual prize distribution will be on the copilot's discretion, as said here). Please keep in mind, that participating in this Beacon competition you not only get the chance to earn some prize right away, but also contribute substantially to the future main challenge, which is beneficial for the entire data science segment of Topcoder community, and you personally, if you decide to take part in the main challenge.

Final Submission Guidelines

You participate in this challenge via discussion in forum. Once you started, please make a dummy submission to facilitate prize payments.


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