Senior Electronic Trading Quantitative Researcher for FX and FI recruitment

My client is a Top Tier Bank holding a leading position among banks in Europe, having one of the three top Fixed Income products in Europe with strong franchises in Asia, Japan, and the US.

Responsibilities include:

• Managing / developing/ optimising statistical and algorithmic tools for electronic trading (Proprietary and market making) for FX and FI

• Supervise the Electronic Trading Group (ETG) involved in: auto-hedging, backtesting, market-making, client profiling, modelling adjustment, research on trading signals, execution, and risk.

• Formulating and monitoring continuous improvement (tuning and optimisation) of high-frequency trading models based on market micro-structures and order book dynamics.

• Derivation and implementation of portfolio optimisation algorithms for multi-currency market-making and FX basket auto-hedging.

• Complex modelling and high frequency statistical data analysis using R, C# and C++. Quantitative research on risk modelling and alpha prediction.

• Validation, calibration and optimisation of candidate models by back-testing on tick-by-tick historical data (OneTick)

Specifications

• Master or Phd preferably in financial mathematics / statistics.

• Strong background in and experience of applying statistical, mathematical and computational tools

• Strong minded and well-developed problem-solving and communication skills

• Considerable experience of supervising successfully the work of others.

• Experienced in designing and implementing proprietary and market making trading models

• Solid knowledge of C++, C #, R

       For further information please contact Sophie Good on 020 7780 6700. Alternatively forward your CV to Sophie.Good@AnsonMcCade.com