at Millennium
Hedge FundsPosted 2 months ago
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Join the Central Liquidity Strategies team to develop and deploy alpha and return/toxicity forecasting models for market-making and execution services. You will design robust statistical and machine-learning models, perform signal evaluation and feature engineering, and combine multiple signals for practical alpha attribution. The role requires collaboration with engineering and business stakeholders to build the platform and ensure out-of-sample robustness.
- Compensation
- $160,000 – $250,000 USD
- City
- New York City
- Country
- United States
Currency: $ (USD)
Full Job Description
The Central Liquidity Strategies (CLS) business manages a number of portfolios and products designed to optimize the firm’s trading and execution approach by providing internal liquidity solutions for portfolio managers on both a risk and agency basis.
We are seeking an Alpha Researcher with experience in return / toxicity forecasting as it relates to market-making business offering pricing on larger blocks of equities either via outright risk pricing or other product structures.
Principal Responsibilities
- Modelling: Design and develop models to assist in alpha generation. Areas include:
- Automated evaluation of signal performance over time and feature engineering techniques to drive improvements.
- Combination of multiple signals to produce a single useable alpha for different contexts and attribution of performance.
- Robust estimation of key metrics such as signal correlations, decay, turnover and risk.
- Rigorous Grounding: Given inherent complexity and high dimensionality, employ methods to avoid overfitting and poor OOS performance based on sound statistical reasoning.
- Collaboration: Work with team members to decide the overall direction, design, and architecture of the platform, and collaborate with key stakeholders across the business.
Qualifications/Skills Required
- Required Experience: 5+ years of experience in Quantitative Finance setting, with a proven track record of developing robust alpha models, preferably in an Equities context.
- Education: PhD or Master's degree in Statistics, or a related field with an excellent understanding of the theory behind statistical and machine learning methods.
- Technical Skills: Proficiency in Python and/or KDB, preferably both.
The estimated base salary range for this position is $160,000 to $250,000, which is specific to New York and may change in the future. Millennium pays a total compensation package which includes a base salary, discretionary performance bonus, and a comprehensive benefits package. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.
