Microstructure Quantitative Researcher

Point72 Asset Management, L.P; New York (NY); On-site; USD 200,000 - 300,000; Full time

Job summary

Point72 Asset Management, L.P. seeks an experienced quantitative professional for intraday to mid-frequency systematic macro work. You will develop signals, engineer features from tick data, and apply models from linear to ML methods.

You will join a team with cutting-edge research and trading infrastructure, driving growth of the macro business while maintaining high ethical standards and collaboration.

Qualifications

• MS or PhD in physics, engineering, statistics, applied math, quantitative finance, or related field with strong statistics foundation.
• 4+ years of quantitative research experience building statistical models for intraday to daily trading.
• Knowledge of market microstructure for futures and/or FX.
• Experience with tick data based feature generation, modelling, and monetization.
• Proficiency in Python, R, or C/C++, and familiarity with data science toolkits (e.g., scikit-learn, Pandas).

Responsibilities

• Develop systematic signals for global macro markets (futures, FX) focusing on market microstructure signals.
• Feature engineer with order book tick data on intraday to daily horizons.
• Experiment with modeling techniques from linear to machine learning.
• Participate in end-to-end research pipeline: idea generation, data processing, modelling, backtesting, production.
• Contribute to growth of investment process and research capabilities.
• Collaborate in a high-caliber team with cutting-edge research and trading infra.

Skills

Quantitative research

Python

R

C/C++

Statistics

Education

MS/PhD in quantitative field

Tools

scikit-learn

Pandas

Data science toolkits

Job description

About the Team:

A well-established quantitative portfolio management team at Point72 is looking for an experienced quantitative professional in the intraday to mid frequency systematic macro space. The candidate will be given the resources and support to drive the build out and expansion of the quantitative macro business.

Role/Responsibilities:

• Perform rigorous and innovative research to develop systematic signals for global macro (futures, FX, etc.) markets, with a focus on market microstructure signals
• Perform feature engineering with order book tick data at intraday to daily horizons
• Perform feature combination using various modeling techniques ranging from linear to machine learning models
• Participate in the research pipeline end-to-end, including signal idea generation, data processing, modeling, strategy backtesting, and production implementation
• Help drive the growth of the investment process and research capabilities of the team
• Work in a team of highly qualified and motivated individuals with access to a cutting-edge research and trading infrastructure and clean datasets
• Assist in building, maintenance, and continual improvement of production and trading environments

Requirements:

• MS or PhD in physics, engineering, statistics, applied math, quantitative finance, or other quantitative fields with a strong foundation in statistics
• 4+ years of experience in quantitative research, building statistical models for intraday to daily trading, as part of a successful proprietary trading team with a track record
• Knowledge of market microstructure for futures and/or FX
• Prior experience with tick data based feature generation, modelling, and monetization
• Demonstrated proficiency in Python, R, or C/C++. Familiarly with data science toolkits, such as scikit-learn, Pandas
• Collaborative mindset with strong independent research abilities
• Commitment to the highest ethical standards

The annual base salary range for this role is $200,000-$300,000 (USD) , which does not include discretionary bonus compensation or our comprehensive benefits package. Actual compensation offered to the successful candidate may vary from posted hiring range based upon geographic location, work experience, education, and/or skill level, among other things.