• Competitive
  • New York, NY, USA
  • Permanent, Full time
  • Citi-US
  • 2018-10-22

MQA - Equities Algorithmic Trading Quantitative Analyst - VP

MQA - Equities Algorithmic Trading Quantitative Analyst - VP

  • Primary Location: United States,New York,New York
  • Education: Master's Degree
  • Job Function: Trading
  • Schedule: Full-time
  • Shift: Day Job
  • Employee Status: Regular
  • Travel Time: No
  • Job ID: 18039716


Description

About Citi

Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.

Citi's Mission and Value Proposition explains what we do and Citi Leadership Standards explain how we do it. Our mission is to serve as a trusted partner to our clients by responsibly providing financial services that enable growth and economic progress. We strive to earn and maintain our clients' and the public's trust by constantly adhering to the highest ethical standards and making a positive impact on the communities we serve. Our Leadership Standards is a common set of skills and expected behaviors that illustrate how our employees should work every day to be successful and strengthens our ability to execute against our strategic priorities.

Diversity is a key business imperative and a source of strength at Citi. We serve clients from every walk of life, every background and every origin. Our goal is to have our workforce reflect this same diversity at all levels. Citi has made it a priority to foster a culture where the best people want to work, where individuals are promoted based on merit, where we value and demand respect for others and where opportunities to develop are widely available to all.

Business Overview:

The Equity Algo Quantitative Analysis group is responsible for research and development of execution algorithms, underlying models and analytics for the Equities Division within Citi Markets. As part of the front office, the team supports the trading business in all quantitative aspects. These execution algorithms and analytics are offered to Citi's institutional clients and internal trading desks.

Key Responsibilities:

This candidate will report to the regional head of the Equity Electronic Execution Quant group. The candidate will be involved in the development of the algorithm platform, the algorithmic models and the support of the day to day activities of the Electronic Execution business. They will be part of the Global Electronic Quant team and will contribute into all regions but with a particular focus on the US and LATAM markets. The platform includes execution algorithms, real time signals, machine learning based recommendation models and analytics associated with the measurement of algo performance. Where a candidate has experience, there are many opportunities for running projects on a regional and global basis.

Key activities will include:
• Researching and providing recommendations for improving trade scheduling , order placement and order routing models used by various equity trading algorithms with the objective of providing best in class execution performance
• Researching and implementing new approaches such as machine learning for optimal trade execution and order routing
• Performing analysis of large data sets comprising of market data, orders, executions to understand algorithm performance and develop signals and analytics to improve performance
• Implement client and desk requests for bespoke algorithms. Support client enquiries and assist with performance analysis and reporting

Development Value:

Opportunity to work in a fast-paced environment as a member of a quant group that develops cutting-edge algorithmic trading strategies. The position offers the opportunity to combine strong technical and quantitative skills to foster innovation, coupled with soft skills in developing internal and external client relationships.

Qualifications

Knowledge/Experience:
• Good understanding of US equity trading and market microstructure.
• Knowledge of algorithmic trading (order books, volume forecasting, equity impact cost models etc.).
• Minimum 3 years of experience in trading environment of which minimum 2 years should be developing execution algorithms, or high frequency trading strategies.
• Experience applying statistical modelling and machine learning towards analysis of large data sets.

Skills/Competencies:
• Strong analytical and quantitative skills and experience using scripting languages such as R or Python as well as object oriented programming in Java or C++.
• Experience with Q/KDB or time series tick databases desirable
• Good communication skills, both verbal and written. This role will require interaction with clients and contributing to white papers
• Ability to juggle multiple tasks in a fast paced work environment.

Qualifications:
Ph.D. or M.S in Mathematics, Physics, Statistics, Computer Science, Engineering or Financial Engineering or a related field.

Applicable licenses: Will be required to already have or apply for Series 7 and 63.