Senior Quantitative Researcher - Market Impact

Senior Quantitative Researcher - Market Impact

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

The successful candidate will be expected to:

• Research the applicability of various market impact models to a variety 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

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.