The company provides systematic, computer-driven trading strategies across multiple liquid asset classes, including equities, futures and foreign exchange. The core of the firm’s effort is rigorous research into a wide range of market anomalies, fueled by unparalleled access to a wide range of publicly available data sources.
Quantitative researcher to help build out a new systematic macro (futures, FX, and vol) business. Core focus will be working on mid-frequency alpha strategies.
Key Responsibilities
- Develop systematic trading models across FX, commodities, fixed income, and equity markets
- Alpha idea generation, backtesting, and implementation
- Assist in building, maintenance, and continual improvement of production and trading environments
- Evaluate new datasets for alpha potential
- Improve existing strategies and portfolio optimization
- Execution monitoring
- Be a core contributor to growing the investment process and research infrastructure of the team
Skills, Knowledge & Experience
- Masters or PhD in mathematics, statistics, physics or other quantitative discipline. PhD in statistics or machine learning is a plus
- Experience in quantitative trading, ideally in FX or futures
- Experience with alpha research, portfolio construction and optimization
- Experience building statistical/technical, fundamental, and data driven signals
- Experience synthesizing predictive signals for both cross-sectional and time-series models
- Strong experience with data exploration, dimension reduction, and feature engineering
- Thorough understanding of and comfort using a variety of regression techniques—including OLS, MLS, Ridge, Lasso, and Bayesian inference—as well as techniques for dealing with errors that can occur, such as auto-correlation and heteroskedasticity
- Experience managing and running risk is a strong plus
- Proficiency in Python using the machine learning stack—numpy, pandas, scikit-learn, etc.
- Creative mindset
- Strong time management ability—the ability to manage multiple tasks and deadlines in a fast-paced environment
- High degree of drive and energy—must be a self-starter
- Ability to work cooperatively with all levels of staff and to thrive in a team-oriented environment
- Commitment to the highest ethical standards and who act with professionalism and integrity at all times
