What are the responsibilities and job description for the Senior Quantitative Researcher - Volatility position at Squarepoint Capital?
Squarepoint Services US LLC seeks a Senior Quantitative Researcher for its New York, New York location. Duties : On behalf of an investment management firm, 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. 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. Assist team’s 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.
Must have a minimum of a Master’s degree or foreign equivalent in any STEM (Science, Technology, Engineering, or Math) field of study and two (2) years of experience as a Quantitative Researcher, Investment Process Associate, or related position for an investment / asset management organization. Must have at least two (2) years of employment 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 auto-correlation, stationary test, autoregressive moving average model and conditional heteroskedasticity models; Transferring portfolio construction into mathematical optimization problem and obtain each name trade from the solution given signal values and restricted risk exposure. Backtesting different systematic trading ideas and evaluating performance metrics- sharpe ratio, return over gross, turnover and drawdown; Transferring idea into codes, implementing backtest framework, automating signal and report generation; and Analyzing and understanding large datasets using statistical techniques (regression and correlation). Salary / Rate Minimum / yr : $205,000 Salary / Rate Maximum / yr : $220,000 40 hrs / wk / 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. Squarepoint : Squarepoint is an EEO / AA employer.
Squarepoint is a global investment management firm that utilizes a diversified portfolio of systematic and quantitative strategies across financial markets that seeks to achieve high quality, uncorrelated returns for our clients. We have deep expertise in trading, technology and operations and attribute our success to rigorous scientific research. As a technology and data-driven firm, we design and build our own cutting-edge systems, from high performance trading platforms to large scale data analysis and compute farms. With offices around the globe, we emphasize true, global collaboration by aligning our investment, technology and operations teams functionally around the world.
Salary : $205,000 - $220,000
