Ruizhou Ding is a quantitative researcher (QR) at Citadel Securities. He joined in February 2020 after completing a PhD in machine learning at Carnegie Mellon University following a bachelor’s degree in electrical and information engineering at Peking University.
7.30am: I usually wake up between 7:30am and 8am and start the day by listening to financial news via Alexa. I’m based in Chicago and if I walk to the office it takes me about 15 minutes. I try to walk to work to get some exercise, but I usually take the bus in the winter.
8.30am: I arrive in the office and review the results of the experiments we ran overnight. Our models are complicated and we’re dealing with large amounts of data—at the order of terabytes—so our experiments take a long time.
The experiments I’m currently working on cover the execution element of trades. I’m focused on determining the most efficient and least risky way of executing trades. This includes the best time of the day to trade and the volumes we should trade for each stock.
9am: My mornings are dictated both by the results of the experiments and by market events. If there’s news coming in that changes the risk profile of the market, then we’ll make some immediate changes to our models. I work with our systematic traders, and in most cases our trading strategies can handle market news and don’t need manual intervention, but there are some instances where we need to make immediate tweaks. When this happens, we’ll have a meeting with the software engineers who provide the technical support, data and infrastructure for the traders, and with the traders who monitor the market and are reacting to the changes in real time. Though we play different roles, we’re all focused on the same objective and I usually leave these meetings feeling pretty energized.
10am: When we’re not responding to market events, I spend the morning working on my model. My job requires a lot of creativity – I’m trying to build a model that trades as efficiently as possible and this means I need to try a lot of different ideas. Many of the ideas won’t work, but when I find something interesting, we use it to upgrade the model. It’s definitely a job for people who like to think and ponder different possibilities!
12pm: I have lunch and meet with other QRs. We discuss the news, share the problems we’re seeing and think about possible solutions. Citadel Securities provides us with lunch, which changes every day, so I never get bored of what’s on offer!
12.30pm: I spend the first part of the afternoon working on my model. This involves collecting data, building a research framework, testing it, and analyzing the results. When the results don’t align with my expectations, I’ll delve deeper into the data to determine my next course of action. This is a really fun process and sometimes I feel a bit like a detective trying to solving a case.
2pm: I have a meeting with some of the other QRs to discuss the model I am working on. They often have helpful suggestions and provide fresh inspiration.
2.30pm: I incorporate some of my teammates’ suggested changes into my model. We are a highly collaborative team and are constantly learning from each other.
3pm: This is when the market closes in Chicago. The pace of work changes after the markets close – I have more time for research and for internal meetings. I often read academic research papers that cover problems similar to those I’m trying to solve.
4pm: I have a meeting with my manager to discuss how my work is progressing.
5pm: It’s time for the changes I’ve made to the model throughout the day to go into effect, which is exciting and a little nerve-wracking. These changes are intended to improve the prediction accuracy of the stock prices, the real-time speed of the models, or the resilience of the trading system. After that, I start to prepare the overnight experiments for the next day.
6.30pm. I usually finish work between 6.30pm and 7pm and I’m home by 7.30pm. I call my parents in China in the evening, as it’s morning over there. If the weather is good, I go biking around Lake Michigan. Weather wise, Chicago is very similar to my hometown in China – summers are very warm and winters are very cold. It’s a beautiful place to live. In addition to the scenery, Chicago has some great restaurants, and I enjoy exploring those in my spare time.
12pm. I’m usually in bed by midnight, which is pretty late compared to most people. It’s a bad habit I got into while I was studying for my PhD!
Photo by Pedro Lastra on Unsplash
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