Quantitative Researcher - Execution Services

Quantitative Researcher - Execution Services

The Central Liquidity Strategies (CLS) business manages a number of portfolios and products designed to optimize the firm's trading and execution approach by providing internal liquidity solutions for portfolio managers on both a risk and agency basis.

We are seeking an Alpha Researcher with experience in return / toxicity forecasting as it relates to market-making business offering pricing on larger blocks of equities either via outright risk pricing or other product structures.

Principal Responsibilities

* Modelling:
Design and develop models to assist in alpha generation. Areas include:

* Automated evaluation of signal performance over time and feature engineering techniques to drive improvements.

* Combination of multiple signals to produce a single useable alpha for different contexts and attribution of performance.

* Robust estimation of key metrics such as signal correlations, decay, turnover and risk.

* Rigorous Grounding:
Given inherent complexity and high dimensionality, employ methods to avoid overfitting and poor OOS performance based on sound statistical reasoning.

* Collaboration:

Work with team members to decide the overall direction, design, and architecture of the platform, and collaborate with key stakeholders across the business.

Qualifications/Skills Required

* Required Experience:

5+ years of experience in Quantitative Finance setting, with a proven track record of developing robust alpha models, preferably in an Equities context.

* Education:

PhD or Master's degree in Statistics, or a related field with an excellent understanding of the theory behind statistical and machine learning methods.

* Technical

Skills:

Proficiency in Python and/or KDB, preferably both.

The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual's experience level and the qualifications they bring to the role to formulate a competitive total compensation package.