Deep Blue Capital Case

For whom?

This event is open for BSc-3 and (pre-)master students.

Company Information

Deep Blue Capital is a highly automated proprietary trading firm specialized in statistical arbitrage that only trades with its own capital (no clients). We have achieved consistently high returns and continue to grow strongly as we invest in new markets and new trading strategies. Our story begins in 2002 when our founders, two associate professors in mathematics, established a separate R&D department at an existing trading firm. What started out as a part-time project has turned, after many years of hard work, into a flourishing enterprise. We separated from the trading firm in 2008 and established our own company, Deep Blue Capital, named after the IBM computer that beat Garry Kasparov at chess in 1996. The firm operates out of a single office in Amsterdam and is mid-sized.

Case Description

During the ECD we will introduce you to one of the most fundamental Strategies of Deep Blue Capital. You will have to work in teams to develop and execute an autonomous algorithm based on this strategy. The algorithm will be developed using historical data. Afterward, it will be tried on an out-of-sample period to see which one performs best. Knowlegde about Matlab or Python will be useful, a winning mentality essential.


14th of November





Erasmus University