Macro Quantitative Researcher

Role/Responsibilities

Perform rigorous and innovative research to develop systematic signals for global macro (Futures, FX, etc.) markets

Perform feature engineering with price-volume, order book and alternative data at intraday to daily horizons in high to mid frequency trading space

Perform feature combination and monetization using various modeling techniques ranging from linear to machine learning models

Manage the research pipeline end-to-end, including signal idea generation, data processing, modeling, strategy backtesting, and production implementation

Work in a team of highly qualified and motivated individuals with access to a cutting-edge research and trading infrastructure and clean datasets

Requirements

Develop systematic trading models across FX, commodities, fixed income, and equity markets

Alpha idea generation, backtesting, and implementation

Assist in building, maintenance, and continual improvement of production and trading environments

Evaluate new datasets for alpha potential

Improve existing strategies and portfolio optimization

Execution monitoring

Be a core contributor to growing the investment process and research infrastructure of the team

Desirable Candidates

MS or PhD in physics, engineering, statistics, applied math, quantitative finance, or other quantitative fields with a strong foundation in statistics

2+ years of signal research experience in macro trading as part of a proprietary trading team

Prior professional experience with feature engineering, modeling, or monetization

Ability to efficiently format and manipulate large, raw data sources

Demonstrated proficiency in Python, R, or C/C++. Familiarly with data science toolkits, such as scikit-learn, Pandas

Strong command of foundations of applied and theoretical statistics, linear algebra, and machine learning techniques

Collaborative mindset with strong independent research abilities

Commitment to the highest ethical standards