Senior Quantitative Analyst - High Frequency Trading Millar Associates -
London
This leading, multi-asset Market Making firm has developed the most advanced automated system and as a result is now looking to expand its team in London with the hire of high frequency Quant Analysts to develop algorithmic pricing/trading/risk strategies based on real time flow estimate
KEY RESPONSIBILITIES:
Develop a real time risk management system from a quant view point
Model trading flow (arrival times, trading quantities, price sensitive flow)
Expand the current suite of Alert/Filters on prices
Real time calibration of the yield curve/convenience yield curve
Investigate and model the ultra short term smile (a few milliseconds)
Develop successful execution strategies, auto skewing algos, and Alpha generation trading strategies based on business flow
Model & develop automatic pricing trading and risk management strategies
Coaching junior and mid level quant analysis (for senior role)
ESSENTIAL SKILLS:
Strong quantitative option background and experience with high frequency models
Graduate degree in quantitative finance, mathematics, physics or engineering
Strong experience in front office quant and high frequency modelling
Highly self-motivated & detail-oriented, able to communicate ideas effectively
Although not a Systems/IT position, you are expected to have experience with Matlab, C++ or Java
DESIRABLE SKILLS:
Practical knowledge in Probability/Stochastic calculus; Levy processes; Point process; Exotic option valuations, Arb-free principle and its implication on price processes; Valuation in incomplete markets; Smile modelling; Data analysis and dynamics of tick data/market microstructure.
Professional experience in FX, Equities and Commodities (one or more)
Prior management experience
Millar Associates - 14 months ago
- save job
-
block
