Salary/Package: Extremely Competitive
Location: New York
Job Type: Permanent

This firm is a $15billion family office managing the assets of its founder and its eligible employees. They primarily invest in discretionary long/short equities and makes significant quantitative and macro investments. The Firm is headquartered in New York and has a world class team of approximately 1,000 employees, including more than 350 investment professionals.

PREFERRED SKILLS AND ABILITIES
  • Design, back test, and implement predictive models for the direction and volatility of liquid futures, FX, and ETFs
  • Design, back test, and implement algorithms for optimal portfolio construction across options and delta one products
  • Computing Implied Volatility surfaces
  • Risk Modeling (including option Greeks)
  • Liquidity and transaction cost modeling
  • Evaluate new datasets for alpha potential
  • Contribute to the continuous improvement of the investment process and the team’s research and trading infrastructure
RESPONSIBILITIES
  • MS or PhD in computer science, statistics, applied mathematics, engineering, or other quantitative discipline
  • Minimum of 2 (ideally 5+) years of work experience as a quantitative researcher for a systematic options trading (volatility arb) business or automated options market maker
  • Broad statistical toolkit including machine learning, econometrics, large-scale simulation
  • Proven ability to conduct alpha research (direction and/or volatility) utilizing large data sets, including, but not limited to, intraday tick data
  • Experience with large-scale portfolio optimization, multi-period optimization, and relevant software libraries and packages
  • Experience with multiple asset classes (FX, fixed income, commodities, equity indices and options on each of these) a plus
  • Strong programming skills in languages such as Python, C++, Java, Matlab, and SQL
  • Keen intuition for markets and their pricing mechanisms
  • Clear, concise, and proactive communicator
  • Detail-oriented
  • Highly motivated, willing to take ownership of his/her work

Relocation is available for exceptional candidates.