Two male students in a classroom setting; one is writing on a blackboard while the other observes nearby, both dressed casually and engaged in the activity.

Quantathon Participants Flip their Ideas of Quantitative Finance

By Kirsten Heuring Email Kirsten Heuring

Jocelyn Duffy

Understanding the nature of high-stakes coin tosses yielded big wins for three teams at Carnegie Mellon University's fifth annual Quantathon.

The competition, held Feb. 18, is one of two annual competitions hosted by Carnegie Mellon's Quant Club, a student organization dedicated to quantitative finance. Students receive a quantitative finance problem to solve in a day. Teams with the best solutions won prizes.

"Although the Quant Club sounds kind of serious, we're not that serious," said Amy Xiao, a junior in mathematical sciences and the president of the Quant Club. "We have a lot of fun events like this one or like Market Making Game. We don't require any financial background, and we don't require you to take any course before joining the club. So as long as you're interested in computational finance or general finance, make sure you join the club."

This year's problem, "Quant Club Monte," was particularly challenging, said its creator, Bill Hrusa, professor of mathematical sciences and Quant Club advisor.

The game involved flipping a coin repeatedly until the player decided to stop. Students had to determine a strategy to maximize their expected payoff. This payoff was based on the longest streak of consecutive heads; this streak could occur anywhere in a streak of tosses, but it became less likely with each coin flip. Continuing to flip the coin might result in a longer maximum streak of heads, but the likelihood the streak would continue decreased after each flip.

Ben Weber, a graduate student in mathematical sciences, analyzed the problem thoroughly prior to the event and helped create questions designed to help students in finding the best strategy.

"The key was you only need to care about when to continue when you're on a streak and when to start a new streak after one just ended," Weber said. "All the top three finalists had good answers."

Group photo of eight students standing together in front of a blackboard, smiling and casually posing for the camera in a classroom setting.
Quantathon winners Team Bread pose with Goldman Sachs sponsors. From left to right: Arthur Krut, Sunny Liu, Puhua Chen, Ryan Lau, Qin Wang, David Tang, Lexi Kuppersmith and Ashleigh David

Team Bread, which included computer science sophomore Qin Wang, computer science and mathematical sciences junior David Tang, computer science and physics sophomore Ryan Lau and mathematical sciences and computer science junior Puhua Chen, took first place.

"The questions were challenging at the start, but we're glad we kept trying the whole day," Wang said. "It was fun." Hrusa emphasized these quantitative finance opportunities are special.

For example, the Quant Club partnered with the Tepper School of Business's Smart Woman Securities to bring in speaker Dexter Senft prior to the competition as a way for students to learn more about quantitative finance.

"Students have a very unique opportunity at CMU," Hrusa said. "These kinds of events are certainly not available any other place that I know about, and I tell students immediately when they come in as freshmen if they say they're interested in quantitative finance, they need to sign up for the Quant Club and pay attention to the activities."

The next Quant Club event will be the Market Making Game on March 18, sponsored by Optiver. Registration is open, and the event will be at the Wyndham in Oakland.