Quantitative Researcher, Volatility

Squarepoint Services US LLC seeks a Quantitative Researcher for its New York, New York location.

Duties: On behalf of an investment management firm, perform independent and complex financial quantitative analysis to formulate mathematical and simulation models of investment strategies, relating constants and variables, restrictions, alternatives, conflicting objectives, and numerical parameters for the enhancement of trading through computerized algorithms, as well as implementation of models. Utilize comprehensive knowledge of mathematical models and technologies, statistical techniques including regression analysis, machine learning, and statistical inference, and financial and computer skills in order to enhance investment strategies based on equities or other asset classes. Produce and implement sophisticated analyses describing new statistical effects, assessing robustness of effects, and developing new quantitative strategies making use of such effects. Perform validation and testing of both trading simulations and critical trading applications. Build applications utilizing Shell and Python to automate daily data dependency processing for trading strategies. Utilize KDB/Q and Python to analyze existing strategy behavior and propose and implement improvements. Utilize Excel/VBA mathematical models and KDB analysis tools to track market history of specific asset classes to evaluate future profit potentials and risk margins. Manage live trading automatons and perform continuous monitoring of risk related to live trading automatons. Leverage on asset-class-specific experience to find new patterns in market data and explore new methods to optimize execution costs. Utilize extensive knowledge of market structure and statistical arbitrage to improve on existing trading strategies and develop new trading strategies. Assist team’s senior quantitative researcher’s efforts in building, validating, releasing, and maintaining highly complex automated trading models. Pilot research projects spanning multiple teams across multiple regions to develop new mathematical models and analytical tools for critical investment decision making.

Requirements: Must have a minimum of a Master’s degree or foreign equivalent in any STEM (Science, Technology, Engineering, or Math) field of study and 2 years of experience as a Quantitative Researcher, Quant Associate, or related position for an investment/asset management organization. Must have experience with each of the following required skills: Utilizing option's knowledge to perform asset specific research and engage in real trading. Analyzing time series data using the following techniques: auto-correlation, stationary test, autoregressive moving average model and conditional heteroskedasticity modeling. Working with portfolio construction. Working with exploring and back-testing different systematic trading ideas and evaluating performance metrics as: Sharpe ratio, return over gross, turnover and drawdown. Implementing back-test framework and Automating signal/report generation/ Analyzing and understanding large datasets using statistical techniques like regression and correlation. 40hrs/week. Salary/Rate Min/yr: $145,000; Salary/Rate Max/Yr: $185,000. The minimum and maximum salary/rate information above include only base salary or base hourly rate. It does not include any other type of compensation or benefits that may be available. To apply, visit Careers section of www.squarepoint-capital.com, click on “View Opportunities”, search for applicable job title, and follow application instructions. Squarepoint is an EEO/AA employer.