Kaggle: Algorithmic Trading Challenge

Develop new models to accurately predict the market response to large trades.

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The Algorithmic Trading Challenge is a forecasting competition which aims to encourage the development of new models to predict the stock market's short-term response following large trades. Contestants are asked to derive empirical models to predict the behaviour of bid and ask prices following such "liquidity shocks".

Modelling market resiliency will improve trading strategy evaluation methods by increasing the realism of backtesting simulations, which currently assume zero market resiliency.

The competition is organised by the Capital Markets Cooperative Research Centre (CMCRC - www.cmcrc.com), a group of researchers, universities and industry partners with a long history of applying academic research techniques to solving commercial problems. The CMCRC attracts high calibre Australian and international researchers to work together with industry partners to develop new and innovative technologies for the capital markets domain.

The competition winner will receive:

• a cash prize of $8,000
• the CMCRC Quantitative Modelling Award for 2011
• consideration for entry to the CMCRC PhD programme

There are also two milestone prizes of $1,000 each, which will be awarded to the competition leader on November 30 and December 22, 2011, respectively.

Competition ends Ends: Sunday 8 January 2012.

www.kaggle.com/c/AlgorithmicTradingChallenge