Quantitative Researcher, Volatility Arbitrage

  • High End Buy Side Comp
  • New York, NY, USA
  • Permanent, Full time
  • Winston fox
  • 02 Oct 18

The Systematic Volatility team is responsible for the creation and management of fully automated systematic strategies that focus on the volatility and Equity Options asset class. As a quantitative research analyst, you will have exposure to the full systematic investment process across idea generation, modelling, technology/ML, execution, and risk management

Role

The Systematic Volatility team is responsible for the creation and management of fully automated systematic strategies that focus on the volatility and Equity Options asset class. The group operates at the intersection of quantitative modelling, technology and trading and is therefore highly interdisciplinary. As a quantitative research analyst, you will have exposure to the full systematic investment process across idea generation, modelling, technology/ML, execution, and risk management. This position is a hands-on role responsible for creating and optimising new quantitative systematic trading models that will be deployed in production.

 

Responsibilities

  • Computing implied vol surfaces, risk/liquidity and TCA modelling, evaluation of data for alpha, Backtesting and portfolio optimisation,
  • Research, create and implement key methods and technologies to facilitate the quantitative investment process of volatility products
  • Analyse large data sets, automate the extraction of critical features, modelling of information for investment, execution, risk and portfolio management purposes
  • Develop a firm understanding of the volatility market, including the various products, exposures, behaviours and execution across all exchanges globally and OTC markets

 

Key Skills

  • PhD or Master’s degree in a quantitative discipline
  • Buy-side or genuine strategy and model creation experience on the sell side.
  • Experience modelling, pricing and developing investment strategies that trade options and other volatility derivatives.
  • Superb grasp/experience of options pricing principals, stochastic volatility models and implied volatility prediction
  • Excellent experience and training in Equity Index and single stocks
  • A solid foundation in optimisation, probability and statistics
  • Good coding expertise in either Python, R or C++
  • Experience in working with large, complex and noisy data sets
  • A practical approach to problem-solving

 

Company

Founded in 1990's, this firm is one of the World’s most successful Proprietary Trading firms and now employs nearly one thousand professionals globally.  The company is also one of the most revered High-Frequency Trading firms with arguably the most powerful, technologically advanced, high-speed trading platforms on the planet.  The last twelve months have produced the best results since the company began, and they are actively growing their Options Trading team (Prop and Market Making) in New York City. 

 

Culture

They have a distinctive culture that is meritocratic, challenging, innovative and intense. The company defines success by the quality of return delivered to investors. The talent, passion and vision of their people are the engines that drive the company’s evolution. They have a set of values rooted in integrity, entrepreneurial flair and professional excellence, and the atmosphere at the firm is collaborative and dynamic while offering considerable potential for rapid individual advancement and professional growth.