Applications are invited for the position of "Associate-EEC Trading" in an MNC Bank. The bank is looking to hire a small team of highly talented individuals to develop a robust platform for supporting the research and development of statistical arbitrage models used in the context of their electronic market making business. System will cover the entire lifecycle of model development, from research to production trading.
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Key Responsibilities :
- Security universe generation with persistent identifiers across multiple vendors and data sets.
- Code to manage persistent time series at different frequencies in a fast and efficient manner. Time series will be shareable using a flexible discovery and versioning mechanism.
- Generic alpha generation containers that can integrate with higher level languages with statistical and visualization capabilities (e.g. R, and Python/Numpy/Scipy).
- Suite of algorithms to analyze quality of signals and combine multiple signals in an optimal fashion, using various regression and machine learning techniques.
- Single backtesting system to for the validation of the correctness of new strategies. Platform will provide a standardized suite of tests for any new strategy that will provide a comprehensive report on the expected P&L over various historical period, expected transaction cost, P&L attribution, marginal contribution to P&L, etc.
- Non-linear optimization tools to be used by trading models and customer market making.
- Models for expected transaction costs and market impact given order size and market conditions.
- Tools to analyze trading results ex-post. Reports to show P&L broken down by risk factors, alpha signals, sectors, customers, transaction costs, etc.
- Tools to analyze customer order flow to determine optimal hedging strategies around customer facilitation.
- Bachelors degree in Computer Science/Math/Statistics/Engineering from a premier academic institution.
- 3-5 years of relevant work-experience.
- Candidates without a formal background in Finance/Equity Markets can also apply.
- Strong computer sciences skills. Knowledge of C++ using Boost and STL required. Knowledge of Python, R, and/or KDB+/Q preferred.
- Strong mathematical background, with experience in fields such as statistics, probability theory, linear algebra.
- Enjoy Strategic Gaming.
- Familiarity with machine learning techniques a plus.
- Good communication skills and should be comfortable interacting with internal and external stakeholders.
- Ability to work under pressure, with minimal supervision, and in a team environment.
- Should be a pragmatic "self starter" - someone who can work both independently as well as a part of a Global team.
- The ideal candidate will be highly detail-oriented and will possess strong organisational skills.
Qualifications/Experience requirements :