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Company Global Markets, Inc. seeks a Quantitative Analyst for its New York, New York location.
Duties: Research, design and develop client-facing and internal quantitative models for the Global Cash Equities Trading and Central Risk Business, in the systematic execution, liquidity facilitation and analytics space. Perform statistical analysis on large multi-dimensional datasets to research and design/enhance sophisticated multi-factor trading impact cost and liquidity pricing models for equity portfolios while incorporating flow characteristics and market conditions with real-time inputs/factors. Build automated post-trade model performance monitors for continuous feedback and model enhancements. Utilize Optimization and other mathematical techniques to design, build and maintain a systematic portfolio and risk management framework for utility optimization. Regularly monitor/perform system calibration with changing flows and market environment. Design and build automated market making models and products to facilitate natural/principal liquidity across different interaction channels. Perform statistical data analysis to continuously monitor/analyze performance, Profit and Loss attribution and flow patterns to optimize calibration and liquidity facilitation. Employ machine learning and data mining techniques towards research and development of short to mid-term signals for alpha generation, pricing and optimal inventory management. Utilize factor risk models to calculate and monitor the portfolio’s risk and Profit and Loss attribution, and design optimal hedging strategies to minimize intraday and overnight risk. Perform rigorous simulations and back-tests to provide insights into flow characteristics, crossing benefits, adverse selection risks and hedging performance on pre and post-trade basis to management/stakeholders. Perform post-trade research and analysis by comparing algorithm performance to find patterns and determine the factors driving performance for enhancements. Mentor, train and oversee the team members. Closely collaborate with Technology teams. Ensure proper technical documentation and model development/maintenance standards in accordance with the company policy and requirements.
Requirements: Requires a Master’s degree or foreign equivalent in Mathematics, Statistics, Quantitative Finance, Financial Engineering or a closely related field and 5 years of experience as a Quantitative Analyst, Quantitative Researcher, or closely related quantitative role. Five (5) years of experience must include: Working in the financial services industry; Working with large noisy datasets and quantitative development, documentation using Q/KDB+, Linux, SQL and Latex; Statistical modeling, advanced data analysis and visualization using Python and R; Experience in impact cost modeling, liquidity pricing, transaction cost analysis, and market microstructure research; Utilizing optimization theory including non-linear optimization, regularization; Researching and designing systematic portfolio management framework; Design and implementation of automated market making models for optimal liquidity facilitation and risk management; Performing advanced statistical analysis, including non-linear regression, hypothesis testing, advanced data mining techniques, and time series analysis; Utilizing linear algebra, probability theory, statistical inference, real analysis, factor risk modeling; Research and development of quantitative trading strategies for alpha generation, pricing and optimal inventory management; Communicating complex mathematical and statistical concepts, inferences to non-technical audiences and stakeholders. Qualified applicants submit resumes referencing job code BL/QA/SJ to Company Recruiting Dept., 3800 Company Center Drive, Tampa, FL, 33610. Company is an EOE Employer. This position is eligible for incentives pursuant to Company’s Employee Referral Program. Direct applicants only.
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