Quantitative Researcher - Central Liquidity Strategies

Millennium • New York, NY

18d • $160,000 - $250,000

About The Position

The Central Liquidity Strategies (CLS) business manages a number of portfolios and products designed to optimize the firm’s trading and execution 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 market-making business offering pricing on larger blocks of equities either via outright risk pricing or other product structures.

Requirements

• 5+ years of experience in Quantitative Finance setting, with a proven track record of developing robust alpha models, preferably in an Equities context.
• PhD or Master's degree in Statistics, or a related field with an excellent understanding of the theory behind statistical and machine learning methods.
• Proficiency in Python and/or KDB, preferably both.

Responsibilities

• Design and develop models to assist in alpha generation.
• 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.
• Employ methods to avoid overfitting and poor OOS performance based on sound statistical reasoning.
• Work with team members to decide the overall direction, design, and architecture of the platform, and collaborate with key stakeholders across the business.

What This Job Offers

• Job Type: Full-time
• Career Level: Mid Level