Delta One Quant Researcher: ETF Arbitrage & Market Signals

CLSA; Hong Kong; On-site; HKD 1,000,000 - 1,500,000; Full time

Job summary

CITIC CLSA is seeking an experienced Quantitative Researcher for its Equity Derivatives Delta One Delta One team in Hong Kong. You will develop and enhance systematic trading strategies across index arbitrage, ETF arbitrage, and related delta-one workflows.

The role involves end-to-end lifecycle collaboration with traders and technology teams, back-testing, risk evaluation, and live monitoring in a fast-paced trading environment.

Qualifications

• Master degree or above in mathematics, statistics, physics, computer science, engineering, quantitative finance, or another highly quantitative discipline.
• An advanced degree is preferred.
• At least 7 years of experience in quantitative research or quantitative strategy development for cash equities or equity derivatives.
• More than 2 years of experience researching algorithmic trading, arbitrage, market-making, or systematic strategies within Delta One.
• Strong knowledge of Delta One products and market structure.

Responsibilities

• Partner directly with traders to generate and evaluate quantitative trading ideas across index arbitrage, statistical arbitrage, ETF arbitrage, and market making.
• Conduct in-depth analysis of historical market data to identify trading signals, pricing dislocations, market patterns, and structural opportunities.
• Research, prototype, and back-test systematic strategies, including robust evaluation of transaction costs, market impact, liquidity, capacity, and implementation constraints.
• Develop quantitative models for pricing, fair-value estimation, signal generation, portfolio construction, execution, and hedging.
• Design experiments and validation frameworks to assess strategy robustness, including out-of-sample testing, scenario analysis, sensitivity analysis, and performance attribution.
• Translate research findings into clear, actionable recommendations and implement strategies in production.
• Monitor live strategy performance and investigate deviations between expected and realized results.
• Develop analytics and tools for real-time strategy monitoring, risk analysis, execution evaluation, and post-trade performance attribution.
• Collaborate with traders, quantitative developers, technology teams, and other stakeholders to optimize trading and operational processes.
• Maintain clear documentation of research methodologies, model assumptions, validation results, and production changes.
• Provide quantitative support to the trading desk and respond effectively to time-sensitive market or strategy-related issues.

Skills

Python

C++

Statistical modeling

Back-testing

Data analysis

Communication

Education

Master's degree or above in a highly quantitative discipline

Tools

SQL

DolphinDB

Linux

Job description

CITIC CLSA is seeking an experienced Quantitative Researcher for its Equity Derivatives Delta One Delta One team in Hong Kong. You will develop and enhance systematic trading strategies across index arbitrage, ETF arbitrage, and related delta-one workflows.

The role involves end-to-end lifecycle collaboration with traders and technology teams, back-testing, risk evaluation, and live monitoring in a fast-paced trading environment.