Master of Engineering Student Ye (Jay) Tian Places Second in Automated Trading Competition
The third annual Interactive Brokers Collegiate Trading Olympiad was open to undergraduate and graduate students throughout the world. Jay Tian, who is concentrating in Financial Engineering in his ORIE Master of Engineering program, won 2nd place by developing software that more than tripled the initial "phantom stake" of $1,000,000 through automated trades. Tian's prize of $50,000 is definitely not "phantom" money. "I was excited as the results unfolded during the eight weeks of the competition", Tian, seen here looking at the final ranking, says. "After the final ranking came out, I felt that all the hard work was more than worth it!"
The competition's automated trading took place at the beginning of 2008, an especially difficult and unusual period in the financial markets. Tian ran his initial stake to $3,108,253, only $26,185 behind the number one finisher, Christopher Michalak, a Montreal resident and aerodynamics doctoral student at the University of British Columbia in Vancouver.
Tian's strategy, embodied in the design of the program, is based on a mathematical understanding of the timing of price pull backs from their extreme values. He credits the Cornell Financial Engineering program for the approaches he learned in the Monte Carlo Simulation and Derivatives courses he took, since these were "the building blocks of the development process." However, he added ingredients based on self-study and says "I think the approach is pretty valuable so I don't plan to publish my results."
Tian will use his Olympiad winnings to pay back his student loans and will invest most of the rest. However "I plan to keep some of the proceeds to celebrate" he says.
Tian joined Cornell's Master of Engineering program in Operations Research and Information Engineering from the University of Florida, where he completed a Ph.D. in Aerospace Engineering. He came to the United States from Szechuan, China in 2001 to study at the Gainesville campus. He received his Bachelor of Engineering degree from Beijing University of Aeronautics and Astronoautics with a major in Electrical Engineering. His wife, Bei Wang, lives in New York City where she is a postdoctoral researcher in immunology.
"Coming to Cornell is the best career decision I ever made," says Tian. "I really like the interactive nature of the program and the field." Kathryn Caggiano, who directs the Master of Engineering program, expressed pride in Jay's accomplishment. "We are delighted that our students take this kind of initiative and are able to compete so effectively with students from all over the world," she said.