Lead Quantitative Developer

New York, NY

Post Date: 09/20/2016 Job ID: 7844 Category: C++, Quant

Lead Quantitative Developer

 

About Cubist:

 

Our Client is one of the world’ s premier investment firms. The firm deploys systematic, computer-driven trading strategies across multiple liquid asset classes, including equities, futures and foreign exchange.

 

Role

Lead Developer for a new team focusing on short term systematic futures, FX, and options strategies

 

Responsibilities

Design, develop, and integrate modular system components for research, simulation, and real-time trading:
  • Option pricing and Greek computation
  • Signal and forecast computation
  • Portfolio construction and optimization
  • Order generation and handling
  • Position, risk, and P&L services
  • Efficient storage and access scheme for market and non-market data across all frequencies
  • Compute cluster, high throughput research infrastructure
  • Performance attribution and post-trade analytics
  • Trading system robustness (automated reconciliation, limit enforcement, system-wide alerts and fuses)Monitors, dashboards

 

Requirements
  • The position requires a highly skilled, passionate technologist with:
  • Strong quantitative skills
  • Strong communication skills
  • A Masters or PhD Degree in Computer Science or a quantitative discipline
  • At least 2 year experience in a quantitative options business (automated market making or volatility arbitrage)

 

Proven expertise with:
  • Implementing systems for real-time option pricing, risk, and execution
  • Implementing fully automated option delta hedging strategies
  • Implementing real-time forecast, alpha services
  • Manipulating tick/microstructure level data
  • Ability to assess buy vs build tradeoffs and performance tradeoffs at all levels of the technology stack
  • Expertise in C++ or Java, Python
  • Domain knowledge of multiple product types preferred (options on futures, equity indices, ETFs, stocks, FX)     
  • Entrepreneurial mindset, desire to be a senior founding member of a dynamic investment team
MS OR PhD, Options (market making or arbitrage), (C++, Java, OR Python)

Evan Pollock


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