Quantitative Analyst, Equities Algorithmic Trading, VP

Citi • New York, NY

2d

About The Position

Citi's Markets Quantitative Analysis (MQA) group is seeking a highly skilled VP Quantitative Analyst to join its Equities team. This role is central to the research, design, implementation, and maintenance of cutting-edge Equities Execution Algorithms for Citi's clients and internal trading desks, with a specific focus on North America and LATAM markets. This position offers a unique opportunity to apply strong quantitative, technical, and soft skills to foster innovation within a collaborative team culture, directly impacting trading businesses, control functions, and the global client base.

Requirements

• Advanced degree (Master's or Ph.D.) in a quantitative field such as Financial Engineering, Mathematics, Statistics, Physics, Computer Science, or a related discipline.
• Minimum 5 years of experience in quantitative analysis or model development within a trading environment at a financial institution, with at least 3 years focused on research and development of agency execution algorithms, smart order routing strategies, liquidity seeking strategies, market making strategies, or high-frequency trading strategies.
• Strong understanding of US Equity Algorithmic Trading and Market Microstructure.
• Strong analytical and quantitative skills with a solid understanding of stochastic calculus, probability theory, and statistical modeling techniques.
• Programming, software design skills and Java experience desirable.
• Strong programming skills in Python or R (statistical programming languages).
• Experience with numerical libraries and data manipulation.
• Will be required to either already possess or apply upon arrival for Series 7 and 63 licenses.

Nice To Haves

• Knowledge of ETF trading is a plus.
• Experience with Predictive signal, Market Impact, and Optimal Trading schedule models is desirable.
• Experience with Q/KDB or other time series databases is desirable.

Responsibilities

• Algorithmic Development & Enhancement: Research, design, and implement improvements for existing and new algorithmic trading strategies (e.g., VWAP, liquidity seeking).
• Develop and enhance quantitative models, including optimal schedule, market impact models, and short-term predictive signals (e.g., fair value).
• Implement algorithm enhancements and customizations with production-quality code, applying best practices for modular, reusable, and robust trading components.
• Data Analysis & Modeling: Perform in-depth analysis of large datasets comprising market data, orders, executions, and derived analytics.
• Apply statistical modeling and machine learning techniques for data analysis and signal generation.
• Conduct flow analysis and performance tuning for various client flows.
• Provide data and analysis to support initial model validation and ongoing performance analysis.
• Collaboration & Support: Collaborate closely with traders, risk managers, product, sales, and technology teams to integrate quantitative tools into daily workflows and address complex client requests.
• Provide quantitative support and expertise for new product development.
• Risk Management & Compliance: Design and execute backtesting frameworks to assess model performance and robustness under different market conditions.
• Maintain comprehensive documentation of models, methodologies, and validation processes, ensuring adherence to internal standards and regulatory requirements.
• Work in partnership with Risk & Control, Legal, Compliance & Audit teams to ensure appropriate governance and compliance with industry regulations.
• Appropriately assess risk when making business decisions, safeguarding Citigroup, its clients, and assets, and escalating control issues with transparency.
• Adhere to Citi’s Code of Conduct, policies, and procedures, fostering a culture of responsible finance and ethics.

Benefits

• Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs.
• Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays.
• For additional information regarding Citi employee benefits, please visit citibenefits.com.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level
• Education Level: Ph.D. or professional degree
• Number of Employees: 5,001-10,000 employees