Quantitative Researcher - Systematic Options

  • Competitive base salary + direct P&L payout
  • New York, NY, USA
  • Permanent, Full time
  • Anson McCade
  • 15 Aug 17

My client is a leading quantitative hedge fund with offices across the US, Asia and Europe. They deploy quantitative, computer-driven trading strategies across multiple liquid asset classes, including equities, futures and FX. They have a long and established track record and unparalleled access to a wide range of publicly available data sources.

 

Quantitative Researcher - Systematic Options

 

My client is a leading quantitative hedge fund with offices across the US, Asia and Europe.  They deploy quantitative, computer-driven trading strategies across multiple liquid asset classes, including equities, futures and FX. They have a long and established track record and unparalleled access to a wide range of publicly available data sources.

 

Job Description

 

An opportunity has arisen for an experienced Quantitative Researcher with expert-level knowledge of statistical prediction techniques and options to take a leadership role in all aspects of developing and improving the team’s investment process.

 

 Job Responsibilities

 

  • Design, backtest, and implement predictive models for the direction and volatility of liquid futures, FX, and ETFs
  • Design, backtest, and implement algorithms for optimal portfolio construction across options and delta one products
  • Computing Implied Volatility surfaces
  • Risk Modeling (including option Greeks)
  • Liquidity and transaction cost modeling
  • Evaluate new datasets for alpha potential
  • Contribute to the continuous improvement of the investment process and the team’s research and trading infrastructure

 

Desirable Candidates

 

  • MS or PhD in computer science, statistics, applied mathematics, engineering, or other quantitative discipline
  • Minimum of 2 (ideally 5+) years of work experience as a quantitative researcher for a systematic options trading (volatility arb) business or automated options market maker
  • Broad statistical toolkit including machine learning, econometrics, large-scale simulation
  • Proven ability to conduct alpha research (direction and/or volatility) utilizing large data sets, including, but not limited to, intraday tick data
  • Experience with large-scale portfolio optimization, multi-period optimization, and relevant software libraries and packages
  • Experience with multiple asset classes (FX, fixed income, commodities, equity indices and options on each of these) a plus

 

  • Strong programming skills in languages such as Python, C++, Java, Matlab, and SQL
  • Keen intuition for markets and their pricing mechanisms
  • Clear, concise, and proactive communicator
  • Detail-oriented
  • Highly motivated, willing to take ownership of his/her work