“Wait, Winston's already writing code?”
“I've heard the college guys who enter these things spend forever analyzing first. Some don't even start writing until the last night.”
“Winston, maybe think it over a little more?”
The two lucky recruits Percival and Winston had roped in watched the pair who'd already dived in, looking a little worried.
Winston let out a scoffing laugh.
“It's not hard. Train the model on five years of daily data from the S&P 500, derive the optimal hedge ratio from Itô's lemma, run a Kalman filter……”
“Okay, okay, okay!”
The lucky recruit threw up both hands.
“I'll go buy you two an iced latte.”
Over here, Norman and I were still working through it.
“The approach really is pretty much the same. Itô's lemma does work here. But from what I heard, they don't seem to have accounted for the tail boundary conditions.
“If the market throws an extreme anomaly, the program will keep buying up positions like crazy, and they'll lose everything.”
Norman gave a quiet scoff.
“For all we know, they don't even realize that boundary condition exists.”
“Still hashing it out? We're almost done!”
Clive, who was paired with Percival and Winston, happened to walk by.
I shot him a look and didn't answer.
He glanced again at the strategy we'd written out on paper.
Then he suddenly pointed at us.
“Hey! Isn't this the Itô whatever filter thing Percy and Winston were talking about?”
“Oh my god! The two big brains are copying somebody else's answer!”
The students in the room laughed out loud.
The kids in the livestream laughed too.
The sound carried across the room to Percival and Winston.
Still typing away at his code, Winston's mouth curved.
“Doesn't matter. They can copy our strategy, but they can't copy how good our code is.
“If they can even submit a finished project, that counts as a win for them.”
Percival snorted a laugh.
Clive shook his head. “You two keep hashing it out. I'm off to get iced lattes.”
Every last detail.
Norman and I kept at it clear into the evening.
The girls I'd recruited had already brought us four iced lattes, and all four were empty.
Finally.
We started writing the code.
I'd barely typed the first letter.
When across the room, someone shoved his keyboard away.
“Done! This one's easy. Not enough of a challenge.”
Percival stretched too.
“Not as tough as Casey last year. I mean, you spot the model at a glance, right?”
“I'm guessing a lot of people place this year.”
They came past us.
Both of them stopped.
They looked at the first module I'd just typed out.
Percival got a kick out of it.
“This is all wrong. That loop is pointless!”
“The organizers test runtime too, you know. Itô's lemma has a way cleaner way to write it.”
“Nope, nope, you two are getting cut for sure.”
“Participation award, tops.”
Shaking their heads, the two of them walked out of the computer lab.
That left Norman and me glued to the screen, hammering away at the keyboard.
Until two days later.
The night before the submission deadline.
That was when we finally walked out of the lab.
Percival and Winston had been messing around for two days straight.
By the time we came back to the classroom.
The two of them were still explaining to everyone what a “Kalman filter” was.
Every set of eyes on them was shining.
“Is this even a contest? You two have it in the bag!”
“I'm dying. The two grind kings are about to lose their shot at college.”
“Norman and Vivienne care about their pride the most. Bet they'll be crying while they retake the year, ha!”
Norman and I stood in the doorway with our backpacks.
They spotted us.
“Look how rough they look. Guess they know they're done for.”
