Trading Researcher

Department Robeco is looking for a Trading Researcher to strengthen its equity trading desk. Lower cost through data-driven trading decisions. Research, develop and maintain models that assist our traders in achieving the best possible execution for Robeco’s strategies. Robeco is an institutional asset manager with more than one hundred billion of assets under management for several equity investment strategies. Each investment strategy creates orders that are executed by Robeco’s equity trading desk using execution algorithms serviced by brokers.

These algorithms split the order into smaller pieces so that the entire order is executed slowly over, e.g., the course of the day. The main driver of execution costs is market impact, which is the adverse effect that trading has on the price, i.e., moving the price up when buying and down when selling. Your primary objective is to make our execution decisions data driven, and, thereby, lower market impact cost.

• Interact with our equity traders, brokers, and portfolio managers.
• This allows you to stay up to date with market developments, changes in market microstructure, and the needs of our investment strategies.
• Apply advanced statistics and data-analytics to analyze our executions post trade.
• Use quantitative methods, including machine learning and optimization, to provide execution recommendations pre-trade.
• Apply stochastic methods and reinforcement learning methods to advise the best course of action during the execution.
• Analyze large datasets with intraday data, and build infrastructure to bring data-driven decision making to our traders.
• Have the latest AI models at your disposal to write clean, reproducible Python code that can be maintained and extended by the broader team, with consistent attention to version control, testing, and documentation.
• Build tools, dashboards, and reports that communicate insights to portfolio managers, traders, investment specialists, and other stakeholders, including colleagues without a quantitative background.

• How much market impact do we expect to make for this order?
• Which of our brokers has the best performing VWAP algorithm?
• How can we prevent adverse selection on block-trading venues?
• What is the best execution schedule for this trade?
• What is the best course of action a trader should take at a certain point during the execution?
• How can we leverage AI at the trading desk?

• A master’s degree or PhD in a quantitative field such as econometrics, mathematics, data science, computer science, engineering, physics, environmental science or a related discipline.
• Roughly 3-8 years of relevant professional experience.
• Additionally, strong graduates are also encouraged to apply.
• Strong quantitative skillset.
• Knowledge of the following domains is a pre: statistics, stochastics, stochastic control, machine learning, reinforcement learning, Bayesian statistics, or optimization.
• Strong programming skills in Python, familiarity with the Python data stack such as pandas and Num Py and understanding of typical data-science workflows: VS code, git version, AI-assisted coding etc.
• Experience with SQL, PySpark or compiled languages is a pre.
• Affinity with trading and financial markets in general.
• Knowledge of market microstructure knowledge is helpful, but can also be learned on the job.
• Affinity for IT and technology: deploying infrastructure in Microsoft Azure, and making things work in Robeco’s IT infrastructure is part of the job.
• General research skills: curiosity, sound judgement, a practical mindset, ability to explain complex topics clearly and work effectively with both technical and non-technical colleagues etc.
• Professional proficiency in written and spoken…