Quant Engineer, Data Products: Thematic Risk Models

Theia Insights; Greater London; Hybrid; GBP 90,000 - 140,000; Full time

Benefits offered by this job

EMI share options

25 days holiday

Private health insurance

Pension

Job summary

Theia Insights is seeking a quant engineer for the Data Products team in London/Cambridge. You will build and run the models behind our thematic factor risk models, decomposing stock returns into thematic and traditional risk factors, and turning research into daily production output with the economics team.

You will design back-tests, validate signal-generation and portfolio attribution, ensure reproducibility of results, and work with the pipelines team to fit modelling decisions into daily

Qualifications

• Strong production Python.
• Factor risk models and portfolio attribution in depth: cross-sectional regression, covariance estimation and back-tests you'd defend line by line.
• Point-in-time discipline, look-ahead and survivorship bias, and reconstructing what was knowable on a given date.
• Statistical modelling and optimisation (statsmodels, cvxpy; PyTorch useful).
• Datasets in pandas and Parquet/Arrow, plus an analytical engine such as DuckDB.

Responsibilities

• Develop statistical models of stock price movements and estimate the performance of thematic trends.
• Construct and back-test factor risk models, decomposing stock returns into thematic and traditional risk factors.
• Design and validate signal-generation and portfolio-attribution methodologies in collaboration with the economics team.
• Make research reproducible, so that any published output can be re-run exactly, including after backfills and restatements.
• Work with the pipelines team to take modelling decisions into daily production.

Skills

Python production

Factor risk models

Backtesting

Statistical modelling

Pandas

DuckDB

Tools

DuckDB

Pandas

Parquet/Arrow

statsmodels

cvxpy

PyTorch

Dagster

Airflow

S3

AWS

Job description

Theia Insights is seeking a quant engineer for the Data Products team in London/Cambridge. You will build and run the models behind our thematic factor risk models, decomposing stock returns into thematic and traditional risk factors, and turning research into daily production output with the economics team.

You will design back-tests, validate signal-generation and portfolio attribution, ensure reproducibility of results, and work with the pipelines team to fit modelling decisions into daily