Department of Mathematics

Maths PhD Students win the Penn-Lehman Automated Trading Project: 2004-05

Congratulations to Rahul Savani and Ben Veal, PhD students in the Department of Mathematics at LSE, on their success in the Penn-Lehman Automated Trading Competition. After coming second in the preliminary competition last December they won the main competition earlier this month in dramatic fashion, beating all previous records & setting a new precedent in the process. They achieved an average daily profit over 20 times that of their nearest competitor, and more than 50,000 times anything achieved in previous competitions.

The Penn-Lehman Automated Trading (PLAT) Project itself is a broad investigation of algorithms and strategies for automated trading in financial markets and related environments. The project makes use of the Penn Exchange Simulator (PXS), a simulator for automated trading that uses orders books to mix real-world stock market data with orders from competitors to create a realistic simulation of a modern Electronic Crossing Network (ECN). 

Details of Ben and Rahul's winning strategy (described by the Competition organiser as 'genius incarnate') will be given in a CDAM Workshop on Friday 3rd June at 4pm in room A247 of the LSE (more details at http://www.cdam.lse.ac.uk/Seminar/Workshop/), and in a CDAM research report soon to appear at http://www.cdam.lse.ac.uk/Reports/reports2005.html. 

For more on what the competition involved, please see the official Penn-Lehman webpage at: http://www.cis.upenn.edu/~mkearns/projects/newsandnotes04.html 

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