eFX Algorithmic Trading Quant (AVP/VP), London & New York

London & New York
Ref: QEFX-2309
Up to £150k base + Front Office Bonus
Top-tier Investment Bank, London & New York
Front Office Electronic FX Trading, C# or Java

KEY RESPONSIBILITIES:

  • Microstructure analysis of market data and statistical analysis of client flows
  • Backtest and prototype quantitative price discovery models and short-term forecast models
  • Automate risk management research
  • Help create an eBook as a facilitator of new FX flows as well as for auto risk-management
  • Establish algorithms for clients to use; price algos based on their performance/productive use to clients
  • Prototype and backtest automated risk management models 
  • Clients include: Corporates, Real Money Managers, Hedge Funds, Client Banks, and internal.

ESSENTIAL SKILLS & EXPERIENCE:

  • Extensive eFX market knowledge with good understanding of FX products
  • Strong knowledge of FX price construction
  • Statistical analysis and interpretation of quantitative data
  • Strong analytical / IT skills: C#, Java, etc.
  • Experience analysing large data sets / tick database experience
  • Ability to build quantitative prototypes, parameter optimisation, automated risk solutions
  • PhD/Masters in a quantitative field (Maths, Statistics, Physics, Engineering)

DESIRABLE SKILLS:

  • Experience implementing short-term volatility models in FX 
  • Knowledge of portfolio mathematics
  • Strong ability to code prototypes for IT