Quantitative Researcher
Quantitative Researcher
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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
