Designation: AVP – Quantitative Analyst – Cash Equities
Experience: 6-9 years
Education: Bachelor s degree in Computer Science/Electrical Engineering / Mathematics / Statistics from a premier academic institution
• Strong analytical and quantitative background, with good knowledge in one or more of the following disciplines probability, quantitative finance, computer science, linear algebra, numerical methods, statistics, econometrics, time series analysis
• Strong programming and computer science skills
• Good knowledge of C++, Java or Python (any one) along with Excel/VBA
• Experience with Q/KDB+ and R is preferable
• Good communication skills, both verbal and written.
• Ability to work under pressure, with minimal supervision, and in a team environment
• Detail-oriented and with strong organizational skills
We are looking to expand our team of highly talented individuals who are working on the research and development of analytics, signals and trading tools used in the context of Citi s agency cash trading businesses. The work covers a number of product lines including pre-trade, intra-trade, post-trade products and electronic execution platforms across all major global markets.
A successful candidate will have a demonstrated ability in building pre-trade, intra-trade, and post- trade analytics tools and a working knowledge of equites market microstructure (or other asset class). The candidate will use their knowledge of statistics to design, implement and validate models. They will use their strong programming capability to collect, manipulate and aggregate large data sets and develop production ready components. They will use their presentation skills to summarize model outcomes and write up compelling analytical notes for internal desks and external clients.
Data types that the team works with include ultra-high frequency market trade and quote (TAQ) data and electronic trading order and execution data.
This data is used to develop:
• Algorithmic trading analytics
• Microstructure research
• Pre-trade cost and risk estimates
• Quantitative research for internal and external publications
• Transaction Cost Analysis (TCA) and improvement of strategy performance
• Bespoke quantitative research for EE clients
• The employee will be responsible for the accuracy and completeness of all modelling and analysis