Quant Researcher - Buyside Central Risk Book Quant Researcher - Buyside Central Risk Book …

Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 20 Oct 20
USD150001 - USD500000 per year
Selby Jennings QRF
in Manhattan, NY, United States
Permanent, Full time
Last application, 20 Oct 20
USD150001 - USD500000 per year
Selby Jennings QRF
A $5bbn stat arb fund is looking to revamp their CRB/execution platform for internal PMs. This group conducts execution research, broker analytics, optimization, and TCA within liquid asset classes and has been given a clear mandate from the firm's leadership to expand the business and team over the next few years. One of the key projects is building a proprietary CRB function internally in order to handle the massive amount of trading flow this firm generates on a daily basis.

Candidate profile:

  • S., B.A., M.S., M.F.E or Ph.D. degree in technical field
  • Market microstructure research experience
  • Familiarity with Data Science, Data Analysis, Machine Learning, Neural Networks, or Deep Learning
  • Experience working with Tick Data
  • Programming skills:
    • Experience with kdb+/Q (required)
    • Proficiency in at least one compiled language like Go/Rust/Scala/C++/Java (required)
    • Proficiency in at least one scripting language like R/Python/Ruby/V8 (required)

Job Responsibilities (include, but not limited to the following):

  • Build tools to measure transaction costs
  • Develop web apps for Trade Cost Analysis (TCA) from the ground up
  • Develop statistical models and machine learning methods to evaluate optimal execution
  • Research market impact models
  • Research and develop systematic trading strategies (multi-asset and multi-frequency)
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