Quantitative Researcher
Job Location: 100 Avenue of the Americas, New York, NY 10013
Note: Company “Hybrid” work attendance policy: In-office work attendance required at the aforementioned office address for collaboration days based on each team’s requirement; telecommuting / working from home is permissible for remainder of the same month.
Duties: Apply quantitative (mathematics/statistics-based) research and analysis/statistical analysis/data analysis skills, including estimation methods, time series analysis, and machine learning methods to research, formulate, design, and develop sophisticated predictive quantitative financial investment models to trade single-name fixed income credit instruments and their derivatives in a variety of global markets. Research, design, and develop production-quality, high-reliability, highly tuned numerical quantitative code using complex statistical modeling, machine learning, and numerical optimization techniques. Analyze requirements to determine feasibility of quantitative financial trading strategy design. Apply scientific analysis and mathematical/statistical modeling to predict and measure outcome and consequences of the company’s investment strategy design. Use research to originate new quantitative models with knowledge of financial market empirical anomalies through latest research findings in quantitative finance literature. Utilize mathematical/statistical analysis and predictive quantitative modeling skills to research, analyze, develop, and execute data-driven solutions to financial investment problems. Generate hypotheses and design customized quantitative/mathematical/statistical research metrics to analyze market impact and construct mathematical/statistical models for prediction and evaluation. Conduct quantitative research to support all aspects of the company’s risk optimization process, including providing quantitative/mathematical/statistical research on forecast models, risk estimation, and portfolio optimization. Note: Company “Hybrid” work attendance policy: In-office work attendance required at the aforementioned office address for collaboration days based on each team’s requirement; telecommuting / working from home is permissible for the remainder of the same month.
Minimum education and experience required: PhD degree or the equivalent in Statistics, Mathematics or related field; OR Master’s degree or the equivalent in Statistics, Mathematics, or related field and 3 years of experience in quantitative analysis or related experience.
Skills required: Must have experience in mathematics and statistics and the ability to tackle complex mathematical problems. Must have experience with coding in an object-oriented programming language (C++, Python, or Java). Must have experience with analyzing large-scale datasets and performing data mining on financial time-series data. Must have experience with machine learning and nonparametric methods, including rank-based methods, kernel methods, nearest-neighbor methods, and tree-based methods. Must have experience with empirical asset pricing and quantitative research on predictive financial modeling. Must have experience with conducting quantitative financial investment models backtesting and analysis. Must have experience with applying machine learning methods on large-scale datasets in fast and computationally efficient ways. Must have knowledge with linear and convex optimization methods. Must have knowledge with stochastic processes (Markov processes, discrete and continuous martingales, Brownian motions) and stochastic calculus (Ito's Lemma, stochastic differential equations, Merton Model). Must have experience with linear and non-linear modelling of high-dimensional, heavy-tailed financial time series. Must have experience with linear regression, statistical inference theory. Must pass company’s required skills assessment. Employer will accept any amount of graduate coursework, graduate research experience or experience with the required skills.
Rate of pay: The base pay for this role will be between $165,000 and $325,000 per year. This role may also be eligible for other forms of compensation and benefits, such as a discretionary bonus, health, dental and other wellness plans and 401(k) contributions. Discretionary bonus can be a significant portion of total compensation. Actual compensation for successful candidates will be carefully determined based on a number of factors, including their skills, qualifications and experience.
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