Senior Quantitative Researcher - Market Impact
Millennium Management, LLC Buckingham, United Kingdom
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 currently seeking a Senior Quantitative Researcher with a focus on market impact modelling. The ideal candidate will have significant experience with this topic both academically and practically, including a strong awareness of the latest academic research, experience in fitting these models in real-world scenarios, and challenges including data and potential biases.
Principal Responsibilities
* Research the applicability of various market impact models to a variety of business flows
* Build fitting tools and analytics to support the research process and model calibration
* Partner with PM / trading stakeholders to implement models into the portfolio construction process
* Research models applicable to asset classes outside of Equities
Qualifications/Skills Required
* Bachelor's degree in Mathematics, Statistics, Physics, Finance, Economics, Econometrics, Financial Engineering, Operations Research or similar
* 3+ years' experience in a Quantitative Research / Quantitative Trading role with a significant or exclusive focus on market-impact research / fitting
* Excellent analytical and quantitative skills
* Excellent communication skills, with the ability to work effectively in a team environment
* Ability to use Python / KDB for analytical / research purposes
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