Member of Research Staff, Optimization

The Voleon Group; Berkeley (CA); On-site; USD 180,000 - 240,000; Full time

Job summary

The Voleon Group is seeking an Optimization Research Staff member to push the frontiers of large-scale optimization for financial trading. You will work with experts in AI/ML and finance to design, implement, and productionize new models that guide billions in trading decisions daily.

You will develop constrained optimization methods, validate them in live environments, and stay at the cutting edge of academic research to inform our approach and improve our systems.

Qualifications

• Background in numerical methods, optimization solvers, mathematical programming, convex or nonconvex optimization.
• Expertise in stochastic control and reinforcement learning.
• Evidence of strong mathematical abilities (publication record, coursework, or competition).
• Interest in production level code (Python and/or C++).
• Eagerness to work in collaborative and diverse teams.
• PhD level coursework is required; a PhD degree is preferred.

Responsibilities

• Develop understanding of Voleon’s challenges and propose research innovations to improve models.
• Design, implement, and improve large-scale constrained optimization methods for trading decisions.
• Develop, validate, and implement new models into production.
• Design experiments to improve simulations and evaluate models in live environments.
• Communicate and collaborate with Research Staff and Software Engineers to drive progress.
• Keep up to date on the latest academic research to identify novel approaches.

Skills

Numerical methods

Optimization solvers

Mathematical programming

Convex optimization

Nonconvex optimization

Stochastic control

Reinforcement learning

Python

C++

Collaboration

Education

PhD in a relevant field

Tools

Python

C++

Job description

Voleon is a technology company that applies state-of-the-art AI and machine learning techniques to real-world problems in finance. For nearly two decades, we have led our industry and worked at the frontier of applying AI/ML to investment management. We have become a multibillion-dollar asset manager, and we have ambitious goals for the future.

Your colleagues will include internationally recognized experts in artificial intelligence and machine learning research as well as highly experienced finance and technology professionals. In addition to our enriching and collegial working environment, we offer highly competitive compensation and benefits packages, technology talks by our experts, a beautiful modern office, daily catered lunches, and more.

As a Member of the Optimization Research Staff, you will work at the forefront of optimization modeling and research at Voleon. Your research colleagues have collectively published hundreds of academic articles in top-tier venues on machine learning, systems, and theory, and we meet regularly to stay current on the latest academic research and share ideas. Founded in 2007 by two leading scientists (see management bios), Voleon supports a culture of curiosity, collegiality, and creativity.

Financial markets are noisy, high-dimensional, and subject to complex constraints, costs, and uncertainties. We have spent over a decade pioneering scientific advances in applying large-scale optimization techniques to this domain. Your work will focus on the models and optimization systems that help determine how Voleon trades in financial markets, taking into account our predictions and costs, and returns trade decisions in real time. We are interested in efficiently solving this optimization problem (algorithm development and production coding), as well as improving the problem formulations themelves to make better trading decisions. We also implement optimization models and algorithms in other areas of interest at the company.

Years of academic training has prepared you for this moment. You won’t just conduct research, you’ll apply it on a daily basis, working with a team across the entire life cycle of applied research problems. Your work will span from basic research to productizing solutions and validating their efficacy in live trading. This role is a means to make a difference: you will help direct billions of dollars in trades daily while making an enduring impact on our field.

*** Relocation and work visa eligibility for qualified candidates ***

Responsibilities

• Develop a rich understanding of Voleon’s challenges and methodologies and propose research innovations and experiments to build, maintain and improve the models that govern our investment strategy

• Design, implement, and improve large-scale constrained optimization methods that determine trading decisions under forecasts, risk, costs, liquidity, and operational constraints

• Develop, validate, and implement new models into production

• Design and conduct experiments to improve simulations and evaluate the success of new models in a live environment

• Communicate and collaborate effectively with other Members of Research Staff and Software Engineers at each stage, driving progress towards tangible outcomes

• Keep up to date on the latest academic research to identify novel approaches to explore for application to our domain

Requirements

• Background in one or more of numerical methods, optimization solvers, mathematical programming, convex or nonconvex optimization

• Expertise in stochastic control, and reinforcement learning

• Evidence of strong mathematical abilities (e.g., publication record, graduate coursework, or competition placement)

• Interest in software development techniques and willingness to write production level code (Python and/or C++ preferred)

• Eagerness to work in collaborative and diverse teams

• Interest in financial applications is essential, but prior finance industry experience is not a pre-requisite

• Ph.D. level coursework is required, and a Ph.D. degree in a relevant field is preferred

Friends of Voleon Candidate Referral Program

If you have a great candidate in mind for this role and would like to have the potential to earn $15,000 if your referred candidate is successfully hired and employed by The Voleon Group, please use this form to submit your referral. For more details regarding eligibility, terms and conditions please make sure to review the Voleon Referral Bonus Program.

Equal Opportunity Employer

The Voleon Group is an Equal Opportunity employer. Applicants are considered without regard to race, color, religion, creed, national origin, age, sex, gender, marital status, sexual orientation and identity, genetic information, veteran status, citizenship, or any other factors prohibited by local, state, or federal law.