Quantitative Researcher
Quantitative Researcher
Employer Active
Job Alert
You will be updated with latest job alerts via email
Share
Job Alert
You will be updated with latest job alerts via email
$ 160000 - 250000
1 Vacancy
Job Description
The Central Liquidity Strategies (CLS) business manages a number of portfolios and products designed to optimize the firms trading and approach by providing internal liquidity solutions for portfolio managers on both a risk and agency basis.
We are seeking an Alpha Researcher with experience in return / toxicity forecasting as it relates to marketmaking business offering pricing on larger blocks of equities either via outright risk pricing or other product structures.
Principal Responsibilities
- Modelling: Design and develop models to assist in alpha generation. Areas include:
- Automated evaluation of signal performance over time and feature engineering techniques to drive improvements.
- Combination of multiple signals to produce a single useable alpha for different contexts and attribution of performance.
- Robust estimation of key metrics such as signal correlations decay turnover and risk.
- Rigorous Grounding: Given inherent complexity and high dimensionality employ methods to avoid overfitting and poor OOS performance based on sound statistical reasoning.
- Collaboration: Work with team members to decide the overall direction design and architecture of the platform and collaborate with key stakeholders across the business.
Qualifications/Skills Required
- Required Experience: 5 years of experience in Quantitative Finance setting with a proven track record of developing robust alpha models preferably in an Equities context.
- Education: PhD or Masters degree in Statistics or a related field with an excellent understanding of the theory behind statistical and machine learning methods.
- Technical Skills: Proficiency in Python and/or KDB preferably both.
The estimated base salary range for this position is $160000 to $250000 which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary discretionary performance bonus and a comprehensive benefits package. When finalizing an offer we take into consideration an individuals experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
Employment Type
Full-Time
