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.
Candidate profile:
- 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)
