Execution Microstructure Scientist

Two Sigma; New York (NY); Hybrid; USD 165,000 - 300,000; Full time

Benefits offered by this job

Medical & dental insurance

401k match

Life & disability insurance

Onsite gym

Job summary

Two Sigma in New York seeks a quantitative researcher for the Execution Modeling team. You will reduce execution costs and increase capacity by researching market microstructure and deploying models into production, collaborating with modeling, portfolio management, and trading groups.

This hands-on role covers experimentation, developing signals from order book data, and building market impact models across horizons. Strong coding in Python/Java/C++ is expected.

Qualifications

• Formal training in statistics, applied mathematics, OR economics, physics, engineering, or CS.
• PhD is a plus, not required.
• 5–15 years in execution research, algo trading, or HF trading at a financial firm.
• Deep market microstructure knowledge: venues, queue dynamics, order types.

Responsibilities

• Optimize order scheduling and interaction with tactics and portfolio optimizers.
• Improve execution simulator and alignment with production results (fill probability, adverse selection, post-trade impact).
• Research short-horizon signals from order book, quote, and trade data to improve tactics and venue selection.
• Build and improve market impact models across horizons and liquidity profiles.
• Design and analyze production experiments (A/B tests) and execution metrics.
• Leverage large historic order/fill data to find execution alpha signals.
• Collaborate with modeling, portfolio management, and trading teams on joint research.

Skills

Quantitative analysis

Python

C++

Java

Machine learning

Data analysis

Linux

Education

PhD preferred

Tools

Python

Java

C++

SQL

Job description

Two Sigma in New York seeks a quantitative researcher for the Execution Modeling team. You will reduce execution costs and increase capacity by researching market microstructure and deploying models into production, collaborating with modeling, portfolio management, and trading groups.

This hands-on role covers experimentation, developing signals from order book data, and building market impact models across horizons. Strong coding in Python/Java/C++ is expected.