Trader

Citi • New York, NY

1d • $200,000 - $250,000 • Hybrid

About The Position

Citigroup Global Markets Inc. seeks a Trader, VP for its New York, New York location. Duties include developing different versions of an index-impact back-test engine, conducting risk-return analysis to evaluate strategy performance under various market scenarios, and determining optimal entry, exit, and directional bets on baskets. The role involves performing computerized analysis of financial and quantitative data using KDB and Python for client proposals and strategic plans. It also requires formulating and applying mathematical modeling to interpret data and build financial models for trading desks. The Trader will utilize quantitative analytical skills for financial product modeling, portfolio structuring, asset allocation, stock market return analysis, and systems development analysis. Collaboration with the quantitative team is expected to improve the systematic trading model's optimization function. Close work with research, trading, and sales teams is necessary for cohesive index management strategies. The role involves providing clients with detailed reports and insights on index rebalances, addressing client queries, and supporting index methodologies and rebalancing processes. Understanding index methodologies to identify trading opportunities is crucial. The Trader will build and automate market participation, earnings risk, and Barra factor risk attribution reports, as well as a stock buyback database in KDB and Python. Constructing an ETF candidate’s database by parsing NSCC files to identify and exploit niche indices/ETFs is also a responsibility. Performing discounted cash flow analysis, comparative and pro forma analysis, and developing company valuation models and quantitative industry studies are required. Regular reports on index performance and rebalancing outcomes will be prepared and presented to senior management. A telecommuting/hybrid work schedule may be permitted in accordance with Citi policies and protocols.

Requirements

• Requires a Bachelor’s degree or foreign equivalent in Applied Mathematics, Statistics or related quantitative field and 2 years of experience as a Trader, Quantitative Analyst, Trading Analysis Program Analyst or related position developing quantitative financial models and investment strategies for a global financial services institution.
• 2 years of experience must include: Quantitative analysis using Linear Regression, Time Series Analysis, Segmentation, Decision Tree, Monte-Carlo, Data Structures, and Dynamic Programming
• Python, R, C, or MATLAB for trade analytics, back-testing, and automation
• KDB and SQL for querying large datasets
• Conducting statistical market trend analysis and comprehending real-time and historical data feeds, including market microstructure, demand/supply imbalances and positioning
• Portfolio mathematics, including correlation matrices, linear algebra, and risk decomposition
• Statistical analysis of market impact models to estimate and minimize transaction costs in trades
• Selecting, configuring, and monitoring algorithms in real-time based on market conditions, focusing on constructing, pricing, executing, and hedging baskets of assets simultaneously along with risk exposure and P&L monitoring
• Portfolio crossing and internal/external crossing networks
• Order Management and multi-channel Execution Management Systems
• Communicating with external and internal clients.

Responsibilities

• Develop different versions of index-impact back-test engine and conduct thorough specific risk returns analysis to evaluate the performance of each strategy under various market scenarios and to determine the optimal entry, exit, and directional bets on baskets.
• Perform computerized analysis of sophisticated financial and other quantitative data to be used in developing client proposals and strategic plans in KDB and Python.
• Formulate and apply mathematical modeling and other optimizing methods to interpret this data and assist in building financial models for a variety of trading desks.
• Utilize quantitative analytical skills to perform financial product modeling, portfolio structuring, asset allocation, stock market return analysis, and systems development analysis.
• Engage with quantitative team and provide insights to improve the optimization function of the systematic trading model.
• Work closely with the research, trading, and sales teams to ensure cohesive and informed index management strategies.
• Provide clients with detailed reports and insights on upcoming index rebalances and their potential effects.
• Address client queries and provide support related to index methodologies and rebalancing processes.
• Comprehend index methodologies to understand the fundamental and quantitative characteristics to identify trading opportunity which in long term provides opportunity for profit of the team.
• Build and automate market participation, earnings risk, and Barra factor risk attribution reports, as well as a stock buyback database in KDB and Python.
• Construct an ETF candidate’s database by parsing NSCC files, to constantly identify and exploit niche indices/ETFs.
• Perform discounted cash flow analysis, as well as comparative and pro forma analysis, and utilize analytical skills to organize, manipulate and analyze complex numerical and statistical data and other variables to develop company valuation models and perform in-depth quantitative industry studies.
• Prepare and present regular reports on index performance and rebalancing outcomes to senior management.

Benefits

• medical
• dental & vision coverage
• 401(k)
• life, accident, and disability insurance
• wellness programs
• paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays

What This Job Offers

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