RITC 2012 Case Package - Rotman International Trading ...

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Key Objectives Objective 1: Generate profits by reacting to news headlines and going long crude oil and its related products during supply shortfalls and shorting them during times of supply excess. This will create profits from changes in the price of the crude oil, futures and products. Objective 2: Design a model to calculate the effect of news releases on the price of crude oil products in order to maximize trading profits. Traders will be provided with a basic RIT-linked Excel model which will allow them to input their expectations to generate buy/sell signals. It is highly recommended that traders enhance this basic model or design one from scratch in order to more effectively trade and understand the case. Objective 3: Find and capitalize on arbitrage opportunities between different crude oil locations, futures and products. Traders may go one step further and incorporate arbitrage indicators into their model to notify them of arbitrage opportunities in order to maximize potential profits. There will also be bid-ask spreads observable in the market between 2-5 cents from which traders may profit. Rotman International Trading Competition 2012 © Financial Research and Trading Lab, Rotman School of Management, U of T 22 BP BP Canada Canada Commodities Commodities Case Case
Thomson Reuters QED Case Overview The Thomson Reuters Quantitative and Event Driven (QED) case mimics QED trading and challenges participants to interpret news headline effects on security quotes using real QED relevance and sentiment scores. The Thomson Reuters Quantitative and Event Driven Trading solution set provides unique content, technology, and data management capabilities for exploiting market opportunities. Description There will be 2 heats with 2 team members competing for the entire heat. Each heat will consist of six 10minute sub-heats with each sub-heat to be independently traded and representing one month of calendar time. Each sub-heat will also involve the same four securities with individual volatility and liquidity characteristics loosely based on their real-life counterparts. Parameter Value Number of trading sub-heats 6 Trading time per sub-heat 600 seconds (10 minutes) Calendar time per sub-heat 1 month (30 days) News headlines will be randomly released for each security and may include information about the specific company, its competitors, or the industry as a whole. Each headline will include corresponding relevance, positive, negative and neutral QED scores from which the resulting effect of the news on the stock price will be determined. Trading from excel using Rotman API will be disabled. Real time data (RTD) links will be enabled. Market Dynamics In each sub-heat, traders will be able to trade the following 4 securities with the following starting prices: DELL LVMH RIMM VOWG Starting Price $20.00 $80.00 $15.00 $85.00 Profits can be generated by correctly interpreting the headlines and forecasting the changes in the fair value of each security. Each news item will affect only one security with its impact determined by a specific formula derived from the QED scores. Please be aware that while the news and QED scores released are real data provided by Thomson Reuters, the market impact will be determined solely by the formula below and are independent of the real life impacts of the news items. Rotman International Trading Competition 2012 © Financial Research and Trading Lab, Rotman School of Management, U of T 23 Thomson Reuters QED Case
Page 1 and 2: Case Package 2012 Rotman Internatio
Page 3 and 4: About RITC The Rotman International
Page 5 and 6: Additional Support Files Additional
Page 7 and 8: Options Trading New to RITC 2012, t
Page 9 and 10: Position Close-Out and Case Scoring
Page 11 and 12: Sales & Trader Case Overview The Sa
Page 13 and 14: Key Objectives Objective 1: Generat
Page 15 and 16: ∆RT100 = (GDPA,n - GDPE,n)GDPS,n
Page 17 and 18: Trading Limits and Transaction Cost
Page 19 and 20: Assets Description Assets Capacity
Page 21: A pipeline can transport up to 10,0
Page 25 and 26: Secondly, the market may over or un
Page 27 and 28: Options Trading Case Overview The O
Page 29 and 30: Trading Limits and Transaction Cost
Page 31 and 32: Market Dynamics Each trader will be
Page 33: Appendix Some supplementary files w

RITC 2012 Case Package - Rotman International Trading ...

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