A $5bbn stat arb fund is looking to revamp their CRB/execution platform for internal PMs. This group conducts execution research, broker analytics, optimization, and TCA within liquid asset classes and has been given a clear mandate from the firm's leadership to expand the business and team over the next few years. One of the key projects is building a proprietary CRB function internally in order to handle the massive amount of trading flow this firm generates on a daily basis.
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Candidate profile:
B.S., B.A., M.S., M.F.E or Ph.D. degree in technical field
Market microstructure research experience
Familiarity with Data Science, Data Analysis, Machine Learning, Neural Networks, or Deep Learning
Experience working with Tick Data
Programming skills:
Experience with kdb+/Q (required)
Proficiency in at least one compiled language like Go/Rust/Scala/C++/Java (required)
Proficiency in at least one scripting language like R/Python/Ruby/V8 (required)
Job Responsibilities (include, but not limited to the following):
Build tools to measure transaction costs
Develop web apps for Trade Cost Analysis (TCA) from the ground up
Develop statistical models and machine learning methods to evaluate optimal execution
Research market impact models
Research and develop systematic trading strategies (multi-asset and multi-frequency)