Microstructure Quantitative Researcher

Microstructure Quantitative Researcher at Point72 in New York.

Responsibilities

Role/Responsibilities

• Perform rigorous and innovative research to develop systematic signals for global macro (futures, FX, etc.) markets, with a focus on market microstructure signals
• Perform feature engineering with order book tick data at intraday to daily horizons
• Perform feature combination using various modeling techniques ranging from linear to machine learning models
• Participate in the research pipeline end-to-end, including signal idea generation, data processing, modeling, strategy backtesting, and production implementation
• Help drive the growth of the investment process and research capabilities of the team
• Work in a team of highly qualified and motivated individuals with access to a cutting-edge research and trading infrastructure and clean datasets
• Assist in building, maintenance, and continual improvement of production and trading environments

Requirements

• MS or PhD in physics, engineering, statistics, applied math, quantitative finance, or other quantitative fields with a strong foundation in statistics
• 4+ years of experience in quantitative research, building statistical models for intraday to daily trading, as part of a successful proprietary trading team with a track record
• Knowledge of market microstructure for futures and/or FX
• Prior experience with tick data based feature generation, modelling, and monetization
• Demonstrated proficiency in Python, R, or C/C++. Familiarly with data science toolkits, such as scikit-learn, Pandas
• Collaborative mindset with strong independent research abilities
• Commitment to the highest ethical standards

About the Company

A well-established quantitative portfolio management team at Point72 is looking for an experienced quantitative professional to develop and trade systematic macro strategies, with a focus on market microstructure. The candidate will be given the resources and support to drive the build out and expansion of the quantitative macro business.