Flagship · Quantitative ML · Team of two · Mar–Apr 2026
QMML Market Making Hackathon
Nine live rounds: predict a hidden fair value from an anonymised feature table, quote a bid and ask, then trade against whichever team became market maker. The edge came from quoting wide, sizing up only where cross-validation backed a strong linear fit, and trading the minimum everywhere else.
- simulated bankroll, from £100,000
- £305,727
- behind 1st place
- £1,153
- rounds traded at minimum size
- 6 of 9
Mine: prediction models, model selection, strategy and the tiered sizing logic. Kieran Cooke: EDA, feature engineering and the Kelly implementation.
| Stock | Model | R² (in-sample) | Sizing |
|---|---|---|---|
| 1 | Linear regression | 0.98 | Big |
| 2 | Linear regression | 0.96 | Big |
| 3 | Linear regression | 0.93 | Moderate |
| 4 | Gradient boosting | 0.27 | Minimum |
| 5 | Ridge (α = 100) | 0.20 | Minimum |
| 6 | Mean baseline | 0.00 | Minimum |
| 7 | Ridge (α = 100) | 0.04 | Minimum |
| 8 | Ridge (α = 100) | 0.04 | Minimum |
| 9 | Mean baseline | 0.00 | Minimum |
strategy.py. Sizing: big ≈ 15% of bankroll at risk over a 2·RMSE move, moderate ≈ 5%, minimum = 10 shares. Cross-validated RMSE per stock is in the case study.