Trading Quantitative Researcher

Responsibilities:

• Design, develop and evolve build transaction costs analysis (TCA) framework
• Build execution performance measurement and attribution framework, dashboards and reports
• Work with pricing & reference data sets such as tick and order book level pricing data to conduct execution performance analysis
• Apply knowledge of advanced statistical techniques, market impact, limit order models to work with columnar databases to conduct time series analysis
• Collaborate with other systematic leadership and systematic trading teams to translate their needs into scalable, standardized solutions
• Conduct statistical analysis over large datasets
• Develop and maintain engineering best practices including focus on high standards across all stages of SDLC

Requirements:

• 5+ years of Python (or R), Java (or C++), SQL experience
• Significant experience working with Python scientific computing packages (numpy, scipy, pandas, matplotlib, sklearn, etc.)
• Knowledge of reference data, pricing data, across multiple assets types (credit, rates, currencies, derivatives, equities)
• Knowledge and experience building execution algorithms
• Experience with columnar databases (e.g. KDB)
• Strong quantitative reasoning skills and an interest in working at the intersection of research and software engineering
• MS/ PhD in Computer Science, Financial Engineering, or related discipline

To discuss the role in full, please reach out to our Associate Director, Tom on tom.oc@capitalmarkets.ie