Senior Quantitative Researcher - FX/Futures

  • VERY Competitive
  • Hong Kong
  • CDI, Plein-temps
  • Opus Recruitment Solutions Limited
  • 20 sept. 17

Our client is a portfolio management team specializing in the systematic trading of global derivatives markets looking for a highly talented Senior Quantitative Researcher. This is an opportunity for someone with expert-level knowledge of statistical prediction techniques and options to take a leadership role in all aspects of developing and improving the team’s investment process.

Responsibilities:

  • Design, backtest, and implement predictive models for the direction and volatility of liquid futures, FX, and ETFs
  • Design, backtest, 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

 

Requirements:

  • 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
  • Obsessively detail-oriented
  • Highly motivated, willing to take ownership of his/her work