INTERNATIONAL UNIVERSITY STUDENTS BECOME THE CHAMPION OF “THE OLYMPIC IN ECONOMETRICS AND APPLICATIONS 2024”
On the evening of June 2, 2024, Hồ Ngọc Phương Trinh, Nguyễn Gia An, Vũ Thị Mai Phương, and Ứng Phương Huyền—four students from the Mathematics Department of the International University (VNU–HCM)—won the first prize of the National Student Science Competition “Olympic in Econometrics and Applications” 2024, organised by the Central Committee of the Youth Union and the Academy of Finance.
The final round of the 9th National Student Science Competition “Olympic in Econometrics and Applications” 2024, organised by the Central Committee of the Youth Union and the Academy of Finance. and the Institute of Mathematics, honoured six outstanding research projects that won first prizes this year. Among them was the project by four students from the Mathematics Department titled “Integrating multiple Garch-type models and deep learning for financial risk forecasting: performance evaluation and hybrid model selection.”
The competition is held annually in May by the Central Committee of the Youth Union and the Academy of Finance and the Institute of Mathematics, under the Vietnam Academy of Science and Technology. Each year, the competition attracts an average of over 300 students from 25-35 universities across the country, with around 120-150 projects. Notably, in recent years, the competition has attracted many Vietnamese students studying abroad to return and participate.
This year, the competition received 266 research projects from 21 universities and academies across the country, marking a significant growth (up 64% from 2023), affirming the increase in both the quantity and quality of projects from these “young researchers”. After nearly two months of diligent work, the judging panel selected 12 projects to report in the final round of the competition on June 2, 2024. The four students from the Mathematics Department of International University excelled and won the championship along with five other groups from five universities and academies nationwide.
It is known that the research group worked on the project from November 2023 to March 2024. The group noticed that Bitcoin and gold are assets of great interest to many investors and have high volatility, they decided to choose a research topic that integrates GARCH models and deep learning models (Bi-LSTM) to predict the volatility of returns for Bitcoin, Gold, and SP500, thereby estimating and forecasting common risk measures such as Value at Risk and Expected Shortfall. Additionally, the project used Granger causality tests of these assets and proposes hedging strategies to mitigate risks. The group understood that this was a challenging topic for juniors as it required deep knowledge of econometric models, machine learning models, and especially financial risk management knowledge. The group faced many failures in designing a good hybrid model to accurately predict the volatility of these assets. However, they worked diligently, and after five months of serious effort, the research group managed to overcome difficulties and completed the project with many good results, highly appreciated by the judging panel. Notably, this is the second consecutive time that Hồ Ngọc Phương Trinh and Nguyễn Gia An have participated in the final round of the competition, and this time they won the first prize.
Over the past 10 years, the competition has become a good playground to encourage students to engage in quantitative research in economics and finance from their early university years. After 10 years, alongside the increase in the number of schools, students, and projects, the quality of the projects has significantly improved. Many projects are written and presented in English, and the proportion of freshmen and sophomores has increased. The organisers aim for students to engage in science earlier, approach quantitative research sooner, and be well-prepared for their graduation theses and quantitative applications after graduation.
In recent years, many projects have been completed and selected for publication in specialised journals. The competition aims to apply mathematical models, econometric models, and informatics to solve problems in socio-economic fields, which is very challenging. Scientific research requires the companionship of teachers, the persistence not only of one student but also the scientific collaboration of students from various disciplines. Passionate work with high determination creates a bond between teachers and students, forming research groups, helping students experience a serious, honest, and effective scientific research process. The competition provides a platform for students to confidently present their initial research results, with the primary importance being the students’ confidence rather than the completeness of the research.
Students from the Department of Mathematics at the International University won the first prize of the competition on the evening of June 2, 2024, in Hanoi.