We seek a talented Quantitative Researcher to join our team and focus on market microstructure models and execution algorithms. In this role you will; model, investigate and explain order book interactions, predict and explain short term market impacts, propose and implement new execution algorithms, and create a framework that allows us to monitor, control and continually reduce our slippage costs.
You must be an excellent communicator with the ability to describe the principals behind your proposed execution strategies and the specific risks associate with them.
• Propose and implement statistical investigations on historical tick data and order flow.
• Identify, describe and define the different components and effects impacting order execution, total cost analysis and other parts of the microstructure ecosystem.
• Model and explain order book interactions and dynamics: price distribution and duration, queuing, order cancellation, short term price predictions based on the state of the order book.
• Propose and implement new execution algorithms using a combination of numerical methods, statistical models and optimization techniques.
• Review and summarize external microstructure white papers, providing your personal commentary and insights.
Ideal candidates will possess some or all of the following skills
• Experience in a high frequency trading environment.
• Proficiency dealing with databases and handling large historic datasets.
• Practical experience performing statistical or other alpha studies in the financial markets.
• MS or PhD in mathematics, statistics, finance, physics or computer science.
• C++ skills are required, experience with languages like R, MATLAB, C# and SQL are desired.
• You should be highly intelligent, analytical and passionate, with an open and collaborative communication style, working to improve ideas without developing an ownership bias.
• Creative problem solver with excellent communication skills.