Quantathon Hits Third-Year Milestone, Attracts Largest Participants to Date

In its third annual appearance, the Quantathon had its biggest showing yet — 53 teams, comprising 200 students, signed up and four teams came out on top, winning cash awards from a prize pool of $2,750. Each year, the day-long problem-solving competition has captured more and more student interest — as well as official sponsorship from Goldman Sachs.

Quantathon is organized by the Quant Club, and it’s their biggest event. Lily Qiao says it gives students who have an interest in quantitative finance a chance to explore what financial mathematics problems can look like. However, the bigger draw of Quantathon, she points out, is that students don’t need to have any experience in finance to tackle the problem.

This year’s problem asked teams to determine the optimal stopping time to maximize the expected payout for several games that involved rolling a die and spinning a roulette wheel. While there is no financial language included in the problem, it represents a scenario that could come up in the financial world. For example, when applied to finance, each roll of the die (or spin of the wheel) could represent how the value of a security would vary over time, and the task is to figure out the optimal point to cash out a security with a complex payment structure.

The beauty of the challenge is that there are multiple ways to approach the problem by tapping into skills in probability, combinatorics, discrete math, algebra and even programming.

“There’s a sense of satisfaction that comes from putting ideas together from different areas of math and pushing harder and harder until you finally solve it,” said Gunmay Handa, a sophomore mathematical sciences major whose team took first place. “Our solution was very collaborative because there was a lot of probability involved, but there was also combinatorial knowledge you needed in terms of algebraic summations and other techniques we had to apply to evaluate what we came up with.”

“The submission that the first-place team turned in looked like it was written by a professional mathematician,” said Bill Hrusa, professor of mathematical sciences and faculty advisor to the Quant Club. “No one has ever come that close to cracking the whole thing before.”

First-year Tepper School of Business student Karl Xiao said his team treated the problem simply like a probability question. Applying what they learned about expected value and probability in their course in Concepts of Math, Xiao’s team earned one of three honorable mentions in the competition for their solution.

As for Xiao’s team, Hrusa was as equally impressed. “The tools that they were using were less sophisticated than some of the teams that got farther, but I was really pleased to see first years that didn’t have a lot of training yet but wanted to think about problems like this could do so well.”

Finding a solution is only the first step of the day. Teams receive the problem in the morning and must submit their progress by 2 p.m. From there, the judges select the top four teams to present their final solutions in the evening. There’s a lot that goes into deciding the winners, notes Hrusa: “Whether the answers are right matters, how the team explains what they’re doing in the written presentation matters, the quality of the oral presentation and how they answer questions matter,” he said.

This is another aspect that entices students to compete — the drive to solve a complicated problem and see how their work can apply to the real world.

Fellow first-place winner Keerthana Gurushankar agrees. “It was exciting to work with the deadline and finish. I also got a sense of what financial problems might look like because I’ve never done anything like this before,” she said.

Another big draw of the competition is meeting and interacting with representatives from Goldman Sachs. This year, four Goldman Sachs employees attended the competition, including computational finance alumnus Sijie Wei, who was a founding member of the Quant Club and the originator of the Quantathon. Wei came full circle this year by serving as a judge, along with mathematical sciences’ faculty Po-Shen Loh and Yu Gu and computational finance Ph.D. candidate Xiaofei Shi.

At the end of the day, the representatives from Goldman Sachs invited the four winning teams to the Urban Tap in Shadyside for an after-event celebration, where they played a market-making game and mingled.

When asked if they would compete again next year, Handa, Gurushankar, Qiao and Xiao quickly said yes.

Quant Club president Tony Wang believes it’s a testament to the work that the Quant Club puts into this event and the uniqueness of what it allows students to do — work together to push boundaries and solve challenging problems.

“We purposefully encourage teamwork,” Wang said. “If people sign up individually, we group them together to form a team.”

This sense of teamwork is what laid the foundation for the Quant Club from the start says Hrusa, who has watched the Quant Club grow since it first formed almost four years ago. “There’s a sense of community here that’s amazing. The students really help one another, and…they’ve realized at a young age that if they help one another everyone is going to be better off.”