Data Scientist (PhD) Fixed Income Market Maker Data Scientist (PhD) Fixed Income Market Maker …

Analytic Recruiting Inc.
in New York, NY, United States
Permanent, Full time
Last application, 01 Apr 20
Competitive
Analytic Recruiting Inc.
in New York, NY, United States
Permanent, Full time
Last application, 01 Apr 20
Competitive
A New York based sell-side fixed income firm (high grade and high yield corporate bond trading) is looking for a PhD with experience with statistical techniques, R and Python programming, to perform quantitative analysis, create models and work with structured and unstructured data. This role works closely with and supports the firms fundamental credit analysts and corporate bond trading desk. This data scientist role requires a combination of strong math, statistical and technical skills.

Some samples of the work:

  • Built/developed fast and accurate intraday ETF NAV calculator for pricing fixed income ETFs (R, SQL, Linux)
  • Built/developed/revised automated analysis software to compute all daily pairwise credit spreads between matched maturity bonds in the US high-yield and investment-grade corporate bond markets for the firm’s credit department (R, SQL, Windows, Linux)
  • Improved and developed faster daily pairwise credit g-spread data generator for emerging markets traders (R, SQL, Windows, Linux)
  • Improved price-to-yield calculations using Newton’s method (R, Linux)
  • Improved yield curve fitting via non-linear optimization (R, Windows)
  • Originated and developed a US Treasuries predictive credit model (R, Windows)
  • Originated and developed new way to measure momentum for price time-series (R, Windows)
  • Developed reliable bid-ask spread width measurement for individual bonds (R, Windows)
  • Developed cooperative network model for bond trading (R, Windows)
  • Found a trading signal in TRACE data using frequency matching (R, Windows)
  • Originated and implemented a pairwise similarity algorithm for quickly finding similar time series (R, Windows)

 Requirements:

  • Advanced Quantitative Degree (PhD)Computer Science, Stats, Math, Finance from a top university
  • Must have a Strong Statistical Background and Machine Learning experience
  • 4+ years of statistical data analytic experience
  • Strong Data Mining/Data Scrubbing and Data Manipulation skills
  • Demonstrated ability to conduct independent research utilizing large data sets.
  • Knowledge of Corporate and Municipal securities markets is preferred
  • Must have -Proficiency in analysis (R) packages, programming languages (e.g. Java, Python,) as well as the ability to implement, maintain, and troubleshoot big data infrastructure
  • Strong SQL and Oracle PL experience and skills
  • Experience in time series analysis, sequential data and predictive modeling

Keywords: PhD, R, Credit Data, Statistical Data Mining, Data Scrubbing, Corporate Bond Data, Pricing Data, Data Science, Machine Learning, Business Intelligence, Text Mining, Python, Scripting, Data Analyst, Python, SQL

Please refer to Job# 22648 and send MS Word attached resume to Jim Geiger, jeg@analyticrecruiting.com | For More Opportunities, please visit www.analyticrecruiting.com

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