AVP - Statistical Modeling - Investment Bank - IIT/BITS/NIT

AVP - Statistical Modeling for an investment bank with proficiency in Python & JAVA/C++ (IIT/BITS/NIT passouts)  

About Statistical Modelling and Development

The Statistical Modelling and Development team remit lies within the trading activities in the Markets division, in particular electronic trading activities. It is responsible for

- Algorithms and model based business logic used in electronic trading in Markets.

- Data Science applied to trading and sales activities

- Underlying technology used in electronic trading and Data Science

The primary purpose of electronic trading is to provide liquidity to clients on agency and principal basis, where either the connection to the client is electronic or provision of that liquidity requires electronic trading. This requires the analysis, research and development of proprietary algorithms and trading business logic using data mining and statistical techniques. The business logic includes information extraction from market data, price formation, auto-hedging, algorithmic risk management, execution strategies and smart-order-routing. The primary purpose of the Data Science work is to extract information from our trading and market data to feed into decision making and algorithm design. The instruments that we currently cover include Equities, FX Spot, Government Bonds, Corporate Bonds, Rates Futures, Rates Swaps, NDFs and CDS indices.

Dynamic working gives everyone the opportunity to integrate professional and personal lives, if you have a need for flexibility then please discuss this with the hiring manager.

Overall purpose of role

The quantitative analyst will conduct research and development in various stages of e-trading activities and contribute to the development of signals, trading strategies, pricing, hedging and portfolio management activities, and pre/post trade analytics. Ultimately the purpose is to create best in class the business logic and models underlying electronic liquidity offering to clients and the associated analytics. This would involve the full chain from defining the problem, metrics to quantify the solutions, hypothesizing solutions, testing and validation, implementation, productionisation, monitoring and support.

Key Accountabilities

The quantitative analyst will work within the SM&D team on one or more modelling activities related to

- analyze market micro-structure and develop signals and trading strategies,

- develop pricing and hedging strategies,

- developing suitable pre-/post trade analytics to gain insights,

- developing business critical reports.

The successful candidate is also expected to engage in implementation of the models into high quality production code within BATS as well as support and enhance the existing algorithms.

Stakeholder Management and Leadership

This role involves interacting with colleagues in other locations as well as our partners in Trading, Technology, Compliance and Risk. It may involve direct interaction with clients. The ability to work and communicate across diverse teams is essential.

Decision-making and Problem Solving

This position requires strong analytical, mathematical modelling, and programming skills. Attention to details and ability to make independent judgement are critical for success at this position.

- Risk and Control Objective [This section is mandatory for all role profiles and must not be deleted]

- Ensure that all activities and duties are carried out in full compliance with regulatory requirements, Enterprise Wide Risk Management Framework and internal Policies and Policy Standards.

Person Specification

Personal attributes essential to performing role including competencies, expertise, knowledge, and experience. Note: experience requirements must not be in the form of years (minimum or otherwise).

Essential Skills/Basic Qualifications:

- Excellent analytical abilities with strong understanding of mathematics, statistics and machine learning tools along with deep knowledge of various statistical tools like R, python and kdb.

- Excellent coding skills, preferably in Java, along with ability to work in shared development environment

- Excellent verbal, written communication & presentation skills

- Should be a self-starter and can work easily as individual contributor or part of a team.

Desirable skills/Preferred Qualifications:

- Masters or PhD in engineering, mathematics or other quantitative disciplines

- Prior experience with algorithms or eTrading business logic is preferred

- Prior professional experience of working in financial institutions