Quantitative Researcher - Macro

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About Cubist

Cubist Systematic Strategies, an affiliate of Point
72, deploys systematic, computer-driven trading strategies across multiple liquid asset classes, including equities, futures and foreign exchange. The core of our effort is rigorous research into a wide range of market anomalies, fueled by our unparalleled access to a wide range of publicly available data sources.

Role

Quantitative researcher to help build out a new systematic macro (futures, FX, and vol) business. Core focus will be working on mid-frequency alpha strategies.



Job Description

• Develop systematic trading models across FX, commodities, fixed income, and equity markets
• Alpha idea generation, backtesting, and implementation
• Assist in building, maintenance, and continual improvement of production and trading environments
• Evaluate new datasets for alpha potential
• Improve existing strategies and portfolio optimization
• Execution monitoring
• Be a core contributor to growing the investment process and research infrastructure of the team

• Masters or PhD in mathematics, statistics, physics or other quantitative discipline. PhD in statistics or machine learning is a plus
• Experience in quantitative trading, ideally in FX or futures
• Experience with alpha research, portfolio construction and optimization
• Experience building statistical/technical, fundamental, and data driven signals
• Experience synthesizing predictive signals for both cross-sectional and time-series models
• Strong experience with data exploration, dimension reduction, and feature engineering
• Thorough understanding of and comfort using a variety of regression techniques—including OLS, MLS, Ridge, Lasso, and Bayesian inference—as well as techniques for dealing with errors that can occur, such as auto-correlation and heteroskedasticity
• Experience managing and running risk is a strong plus
• Proficiency in Python using the machine learning stack—numpy, pandas, scikit-learn, etc.
• Creative mindset
• Strong time management ability—the ability to manage multiple tasks and deadlines in a fast-paced environment
• High degree of drive and energy—must be a self-starter
• Ability to work cooperatively with all levels of staff and to thrive in a team-oriented environment
• Commitment to the highest ethical standards and who act with professionalism and integrity at all times

• Seniority level
  
  Entry level

• Employment type
  
  Full-time

• Job function
  
  Finance and Sales

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