Kaggle Link: https://www.kaggle.com/competitions/optiver-trading-at-the-close
Description:
Within this complex financial landscape operates Optiver, a leading global electronic market maker. Fueled by technological innovation, Optiver trades a vast array of financial instruments, such as derivatives, cash equities, ETFs, bonds, and foreign currencies, offering competitive, two-sided prices for thousands of these instruments on major exchanges worldwide.
In the last ten minutes of the Nasdaq exchange trading session, market makers like Optiver merge traditional order book data with auction book data. This ability to consolidate information from both sources is critical for providing the best prices to all market participants.
In this competition, you are challenged to develop a model capable of predicting the closing price movements for hundreds of Nasdaq listed stocks using data from the order book and the closing auction of the stock. Information from the auction can be used to adjust prices, assess supply and demand dynamics, and identify trading opportunities.
Time commitment: 5-7 hours a week - biweekly meetings
Estimated length: < 2 months till final submission (Deadline: Dec 20, 2023)
Group max size: 5
Current members: