Financial Forecasting Challenge

Winner: LiDer

Many thanks to all who took part in this challenge!
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1. The Promoter

The promoter is: G-Research of Whittington House, 19-30 Alfred Pl, Bloomsbury, London WC1E 7EA (“G-Research”, “we” or “us”).

2. The competition

2.1 The title of the competition is the G-Research Financial Forecasting Contest (the “Contest”).

2.2 We would like you to minimise a weighted mse function that we will provide to you by predicting y (an element of the return of a financial data series) from a number of features. Contest submissions will be a simple csv of y predictions, which we hope will allow you to freely use any language or package you like for the task.

3. How to enter

3.1 The competition will run from 10.00 UTC on 15 January 2018 (the “ Opening Date ”) to 23.59 UTC on 15 April 2018 (the "Closing Date") inclusive.

3.2 All competition entries must be received by the Promoter by no later than 23.59 on the Closing Date.

3.3 To enter the competition:

a) At any time before the Closing Date, create an online account for the Contest at by:

· creating a username and password; and

· providing (and verifying) your email address.

b) Log in to your account.

c) Download a training data set with (i) y (ii) weights and (iii) the features we would like you to investigate (the “Training Data”).

d) Download a test data set, without y or weight, in respect of which we would like you to make your forecast for y (the “Test Data”).

e) Through analysis of the Test Data, submit your forecast for y after the opening Date through submitting a .csv file of y predictions by attaching a .csv file and clicking ‘Submit New Entry’ on the Contest website.

3.4 There is no charge for entering the Contest.

3.5 Contest entries will be judged by a panel of three (3) judges based on the entry that has the lowest weighted mse, provided that the contestant has complied with the rules of the Contest. The decision of the panel of judges will be final.

3.6 Each entrant may select one (1) final entry to the Contest that is eligible for the prize and may set up only one (1) user account for the purposes of submitting an entry.

3.7 Each entrant is entitled to submit up to ten (10) entries in total, plus up to three (3) additional entries in any one day. The entry that you select as your final entry shall be your Contest entry for the purposes of awarding the prize (and all other entries will be disregarded for that purpose) (the “ Final Entry ”).

3.8 There is one (1) prize for the Contest. That prize is a 30,000 USD cash prize.

4. Selection of winner

4.1 There will be one (1) winner. The process for selecting a Provisional Winner (defined below) is as follows:

a) Once received, the Promoter shall mark each entry on a portion of the Test Data for informational purposes only.

b) A rolling leaderboard of all scores determined under paragraph 4.1(a) shall be displayed on the Promoter’s website.

c) Within ten (10) business days of the Closing Date, the Promoter shall mark each Final Entry on the remainder of the Test Data.

d) The entrant with the lowest score on that set (subject to having complied with the rules of the Contest) will win the prize (“the Provisional Winner ”).

e) The Provisional Winner shall be notified at the email address provided.

4.2 The Provisional Winner being appointed as the overall winner is subject to:

a) The Provisional Winner, within ten (10) business days of having been notified under paragraph 4.1(e), submitting the software code they wrote to generate the submission.

b) That code must be capable of generating the winning submission.

c) The Provisional Winner must reasonably promptly and satisfactorily explain (to be determined in accordance with the Promoter’s sole discretion), any elements of the code that the Promoter considers to be unusual (such as unexplained arbitrary hard coded constants), to allow the Promoter to determine whether the rules of the Contest have been complied with.

4.3 If the Provisional Winner is determined (in the Promoter’s sole discretion) not to have followed the rules of the Contest or does not follow the procedure set out above, the process outlined in 4.1(e) and 4.2 shall be repeated in respect of the entrant with the next lowest score, until a winner is selected.

4.4 If the Provisional Winner is determined (in the Promoter’s sole discretion) to have followed the rules of the Contest, they shall be announced as the winner of the Contest.

4.5 The Promoter will send the full names of the judges to anyone who emails within two (2) weeks after the Closing Date.

4.6 More information on the Contest goal and evaluation process is available in the Contest Rules.

5. Code of Conduct

5.1 The Contest is designed to be as pure a data science competition as possible and cheating is not permitted. In addition to other behaviours outlined in these T&Cs, cheating encompasses any attempt to gain an edge in accuracy by using information that is outside of the provided dataset. Examples of cheating include (but are not limited to) attempting to use datasets and references beyond those made available by the Contest.

5.2 In addition, you must not share the Training Data or Test Data with any other person and must not use that data for any purpose other than the Contest.

6. Eligibility

6.1 The Contest is only open to anyone aged 18 years or over, except any of:

a) Employees or former employees of the Promoter or any entity within its group.

b) Members of the immediate families or households of (a) above.

c) Those employed in a quantitative finance position with access to financial tick data.

6.2 In accepting these T&Cs, you confirm that you are eligible to enter this Contest and eligible to claim the prize you may win. The Promoter may require you to provide documentary proof of your eligibility.

6.3 Entries on behalf of another person will not be accepted and joint submissions are not allowed.

6.4 The Promoter reserves all rights to disqualify you if your conduct is contrary to the spirit or intention of the Contest, including (but not limited to) if it has reason to believe that there has been a breach of these T&Cs or incorrect, illegible, fraudulent or other invalid or improper information has been provided.

7. Winner announcement

7.1 The winner of the Contest will be announced on our website within two (2) months of the Closing Date (“Announcement Date”).

7.2 The decision of the Promoter is final and no correspondence or discussion will be entered into.

7.3 The Promoter will contact the winner in accordance with the process in paragraph 4.

8. Claiming the prize

8.1 In order to claim the prize, the winner must provide to the Promoter within two (2) weeks of having been notified that they have won valid bank account details in their name to which the Promoter can transfer the Prize.

8.2 The Promoter will use best efforts to transfer the prize within 30 days of receipt of the information above.

8.3 The prize may not be claimed by a third party on your behalf.

8.4 The Promoter does not accept any responsibility if the winner is are not able to take up the prize.

8.5 The winner may be required to pay tax on any Prize won in accordance with their jurisdictions tax legislation and will be responsible for any related tax liability (or other fee or liability associated with acceptance of the prize).

8.6 The Promoter reserves the right to withhold the prize in the event that it receives fewer than fifty (50) entries from different participants, or considers that payment of the prize will contravene any applicable laws or regulations.

9. Limitation of liability

9.1 To the extent permitted by law, the Promoter, its affiliates, agents or distributors will not in any circumstances be responsible or liable to compensate the winner or accept any liability for any loss or damage occurring as a result of taking up the prize except where it is caused by the negligence of the Promoter, its agents or distributors or that of their employees. Your statutory rights are not affected.

9.2 The Promoter will not accept responsibility for Contest entries that are lost, mislaid, damaged or delayed in transit, regardless of cause, including, for example, as a result of any postal failure, equipment failure, technical malfunction, systems, satellite, network, server, computer hardware or software failure of any kind.

10. Ownership of Contest entries and intellectual property rights

10.1 The Promoter does not claim any rights of ownership in your Contest entry.

10.2 By submitting your Contest entry (and any accompanying material, including code), you grant the Promotor and its affiliates an irrevocable, worldwide, and royalty-free right to review your submission (including any and all submitted code) for purposes related to the administration, evaluation and scoring in this Contest, including (but not limited to) the assessment of potential cheating.

10.3 By submitting your Contest entry you warrant that a submission is your own original work, or is used by permission.

10.4 You represent, warrant, and agree that you will not contribute any submission (or accompanying material) or otherwise interact with the Contest in a manner that:

a) infringes intellectual property (or other) rights of anyone else;

b) breaches any law or regulation;

c) is harmful, fraudulent, deceptive, threatening, harassing, defamatory, obscene, or otherwise objectionable;

d) jeopardizes the security of your account or anyone elses (such as allowing someone else to log in to the Contest as you);

e) attempts, in any manner, to obtain the password, account, or other security information from any other user; or

f) violates the security of any computer network, or cracks any passwords or security encryption codes.

11. Data protection and publicity

11.1 Please refer to the Promoter's privacy policy for more information about how your personal information will be used. The Promoter will manage your personal information in accordance with the Data Protection Act 1998 (as amended, updated or replaced from time to time).

11.2 By creating an account to enter the Contest, you consent to:

a) the Promoter storing and using details submitted to create an account in order to administer the Contest;

b) publication of your entry score, as envisaged under paragraph 4.1, alongside your username and position on the Contest webpage throughout the period of the Contest and for up to three (3) months after the Closing Date; and

c) unless you tell the Promoter otherwise by emailing, storage of your personal information by the Promoter to let you know about future vacancies that may be of interest to you.

11.3 If you are the winner of the Contest, you agree that the Promoter may use your name to announce the winner of this Contest.

11.4 The legal basis of this use of your personal data is that this processing is necessary for the Promoter's legitimate business interests in administering and promoting the Contest.

12. General

12.1 If there is any reason to believe that there has been a breach of these terms and conditions, the Promoter may, at its sole discretion, reserve the right to exclude you from participating in the Contest.

12.2 The Promoter reserves the right to hold void, suspend cancel, or amend the Contest where it becomes reasonably necessary to do so. The Promotor reserves the right to modify, remove or add training data or Test Data upon notice via the Contest website, and shall not be responsible for any failure by a participant to receive any of those changes.

12.3 The invalidity or unenforceability of any provision of these T&Cs shall not affect the validity or enforceability of any other provision. In the event that any provision is determined to be invalid or otherwise unenforceable or illegal, these T&Cs shall otherwise remain in effect and be construed in accordance with their terms as if the invalid or illegal provision was not contained herein.

12.4 These terms and conditions shall be governed by English law, and the parties submit to the non-exclusive jurisdiction of the courts of England and Wales.

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