Senior Quantitative Researcher - Volatility Trading
Squarepoint Services US LLC seeks a Senior Quantitative Researcher - Volatility Trading for its New York, New York location.
Duties: On behalf of an investment management firm, formulate mathematical and simulation models of investment strategies, relating constants and variables, restrictions, alternatives, conflicting objectives, and numerical parameters for the enhancement of trading through computerized algorithms, as well as implementation of models. Utilize comprehensive knowledge of mathematical models and technologies, statistical techniques including regression analysis, machine learning, and statistical inference, and financial and computer skills in order to enhance investment strategies based on options or other asset classes. Produce and implement sophisticated analyses describing new statistical effects, assessing robustness of effects, and developing new quantitative strategies making use of such effects. Perform validation and testing of both trading simulations and critical trading applications. Utilize KDB/Q to automate daily data dependency processing for trading strategies, analyze existing strategy behavior and propose and implement improvements. Manage live trading automatons and perform continuous monitoring of risk related to live trading automatons. Leverage on asset-class-specific experience to find new patterns in market data and explore new methods to optimize execution costs. Utilize extensive knowledge of market structure and statistical arbitrage to improve on existing trading strategies and develop new trading strategies. Coordinate team efforts to build, validate, release and maintain highly complex automated trading models. Pilot research projects spanning multiple teams across multiple regions to develop new mathematical models and analytical tools for critical investment decision making. Map out, prioritize, and lead research projects based upon estimation of potential future profits and financial risk. Participate in investment senior level decision making including risk allocation of quantitative trading strategies and in risk management at the desk’s level. Represent company interests in interactions with company’s counterparties.
Requirements: Must have a minimum of a Master’s degree or foreign equivalent in any STEM (Science, Technology, Engineering or Math) field of study and 3 years of experience as a Quantitative Researcher or related position for an investment/asset management organization. Must have at least three (3) years of employment experience with each of the following required skills: Researching, designing and implementing strategies within the firm’s automated trading framework; Experience with developing option trading and execution strategies from inception, volatility forecasting, volatility surface modeling, and alpha mining based on options market microstructure and events. Analyzing large datasets to identify trading opportunities using advanced statistical methods, including hypothesis testing, ordinary and regularized regression techniques, and ensemble models; Utilizing C++ programming language to read and implement production configuration files, as well as underlying C++ source code; Knowledge of Black-Scholes and alternative option pricing methodologies; Understanding the market structure of various exchanges and asset classes, such as options, equities, futures. Must have two years of experience with: KDB/Q programming language to perform complex tasks, including experience with manipulating and extracting information from large datasets;
Salary / Rate Minimum/yr: $150,000
Salary / Rate Maximum/yr: $250,000
40 hours/week. The minimum and maximum salary/rate information above include only base salary or base hourly rate. It does not include any other type of compensation or benefits that may be available. Squarepoint is an EEO/AA employer.