We're thrilled to announce that Moody's Analytics sponsored the MIT Quantum Hackathon, iQuHACK 2024! On February 2nd to 4th, the quantum team travelled to Boston to propose a challenge about a hard instance of portfolio optimization.
It was a fantastic event that brought together almost 300 students and early-career professionals from diverse backgrounds to explore applications of near-term quantum devices. This year, they had both an in-person hackathon, held on MIT’s campus in Cambridge, MA, where students got to develop and test their code on real quantum hardware, and a virtual hackathon for a larger outreach (+1000 hackers). During the keynote we got to see experts from industry and academia, like Prof. William D. Oliver from MIT, or Dr. Nate Gemelke, CTO of QuEra Computing, discuss the state-of-the-art in the field. We even saw one of the creators of the algorithm QAOA, Edward Farhi, that students were supposed to use in Moody’s challenge challenge, and Prof. Peter Shor, one of the fathers of quantum computing, who developed Shor’s algorithm in 1994, a quantum algorithm for finding the prime factors of an integer, and who teaches at MIT.
Panel discussion. From left to right: Dr. Daiwel Zhu IonQ, Dr. Nate Gemelke QuEra, Dr. Pierre-Emmanuel Emeriau Quandela,
Prof. Peter Shor MIT, Prof. Johannes Borregaard Harvard, Dr. Valeria Saggio MIT, Prof. Stefan Krastanov Umass Amherst.
In our challenge, we considered an alternative Markowitz’s mean–variance model in which the variance is replaced with an industry standard risk measure, Value-at-Risk (VaR), in order to better assess market risk exposure associated with financial and commodity asset price fluctuations. This is a challenging problem since it leads to a non-convex NP-hard problem which is computationally intractable. You may read the challenge statement here.
The event lasted for 3 days. On Friday we kicked off the event with a lecture and a panel in quantum computing, followed by the workshops by sponsors, where we presented the needed tools for our challenge. Teams were formed and pizza was served. On Saturday morning at 10AM, challenges were revealed. After a gong sound the hacking began. We had a booth with swag where Rhonda and Daniel from People team got to talk about Moody’s with many interested students and gave away some cool swag items. Students hacked all day in MIT’s innovation center, all night in MIT’s Museum, and finally on Sunday, teams wrapped up their projects and presented in front of the judges.
From left to right: Daniel Slutsky, Rhonda Andrews from People team, Ricardo García
and Carmen Recio from the Quantum team at Moody’s
Kick-off and gong
A total of 6 teams, 30 students, from a diverse set of backgrounds participated in Moody’s challenge. They learnt about the steps you need to work on to solve a financial problem with quantum or quantum inspired techniques, what problems interest the financial sector, current bottlenecks, open questions, unresolved challenges, proposals in the literature, and they got to unleash their creativity working in multidisciplinary teams. The winners of the hackathon will have a chance to interview for the summer internship in the quantum team, and we are collaborating with them to publish the results in the form of a whitepaper.
Hacking night in the MIT museum
Winning team. From left to right: Mason Abrell, Christian Kang, Jeb Cui, Zachary Zitzewitz, Victor Cai
Quote by the winning team:
"Our challenge was to build a quantum portfolio optimizer from start to finish, algorithm to interfacing with real cutting-edge quantum hardware. Most of the field of Quantum Computing is focused on theory and theoretical applications, but this challenge put the power of a qubit into our palm and asked us to produce real, physical results. Interweaving the economic theory of portfolio optimization with the physics-based capabilities of our quantum annealer was by no means an easy task, but it was an extremely fulfilling one. Seeing a real quantum computer applied to a real and pressing problem, with great success, redoubled our enthusiasm for the field and its potential to revolutionize how we problem-solve. A combination of hard work, innovative thinking, and a lot of coding led to our winning algorithm, which used quantum annealing to solve QUBO formulated mean-VaR portfolio optimization problems."
Hackathons are a great way to get new innovation ideas for problems that are relevant to our business and also to meet great talent from top institutions.
Keep calm and hack on!
Presentation day
For more details visit: https://www.moodys.com/web/en/us/about-us/innovation-technology/quantum.html