MQA - Algorithmic Trading Quantitative Analyst – Associate/VP
United States,New York,New York
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The Equity Execution Quantitative Analysis group is responsible for research and development of execution algorithm models and analytics for the Equities Division within Citi Markets. As part of the front office, the team supports the trading business in all quantitative aspects. The execution algorithms and analytics are offered to Citi's institutional clients and internal trading desks.
This candidate will report to the regional head of the Equity Electronic Execution Quant group. The candidate will be involved in the development of the algorithm platform, the algorithmic models and the support of the day to day activities of the Electronic Execution business. They will be part of the Global Electronic Quant team and will contribute into all regions but with a particular focus on the US and LATAM markets. The platform includes execution algos, real time signals, machine learning based recommendation models and analytics associated with the measurement of algo performance. Where a candidate has experience, there are many opportunities for running projects on a regional and global basis.
Key activities will include:
Researching and implementing ideas for improving trade scheduling, order placement and order routing models used by various equity trading algorithms with the objective of providing best in class execution performance
Researching and implementing new algorithms and new approaches such as machine learning for optimal trade execution and order routing
Performing analysis of large data sets comprising of market data, orders, executions to understand algorithm performance and develop signals and analytics to improve performance
Enhance the model development and simulation frameworks
Implement client and desk requests for bespoke algorithms. Support client enquiries and assist with performance analysis and reporting
Opportunity to work in a fast-paced environment as a member of a quant group that develops cutting-edge algorithmic trading strategies. The position offers the opportunity to combine strong technical and quantitative skills to foster innovation, coupled with soft skills in developing internal and external client relationships.
Good understanding of US equity trading and market microstructure.
Knowledge of algorithmic trading (order books, volume forecasting, equity impact cost models etc.).
Minimum 3 years of experience in trading environment of which minimum 2 years should be developing execution algorithms, or high frequency trading strategies.
Experience applying statistical modelling and machine learning towards analysis of large data sets.
Strong analytical and quantitative skills and experience using statistical programming languages such as R or Python
Object oriented programming (Java, C ).
Experience with Q/KDB or time series tick databases desirable
Good communication skills, both verbal and written. This role will require interaction with clients and contributing to white papers
Ability to juggle multiple tasks and projects in a fast paced work environment
Demonstrates an appreciation of a diverse workforce. Appreciates differences in style or perspective and uses differences to add value to decisions or actions and organizational success.
PhD or Masters in Mathematics, Physics, Finance, Statistics, Computer Science or a related field.
Applicable licenses: Will be required to already have or apply for Series 7 and 63.
Americas, United States
Website : http://www.citigroup.com
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