Quantitative Researcher (Fixed Income)

Trading Interview; Chicago (IL); On-site; USD 175,000 - 250,000; Full time

Benefits offered by this job

Medical Insurance

Dental Insurance

Vision Insurance

Disability Insurance

Life Insurance

On-site meals

Tuition Reimbursement

401(k) match

Paid vacation or leave

Commuter benefits

Job summary

Old Mission Capital in Chicago is seeking a Quantitative Researcher to join our Fixed Income team. You will build and enhance risk and pricing models for US corporate bonds and other debt instruments, performing data analyses, backtesting, and contributing to trade execution.

The ideal candidate holds a PhD in a quantitative field, with strong Python, VBA, or R skills, and a passion for financial markets. Expect a collaborative, fast-paced environment with a competitive compensation and benefits

Qualifications

• PhD in a quantitative field is required.
• Strong mathematical and programming skills (Python, VBA, or R).
• Excellent communication skills and ability to work in a fast-paced, collaborative environment.
• Entrepreneurial mindset; immediate impact on a growing team.
• Experience with US corporate bonds is required.
• Experience with credit pricing, credit curve models and RFQ-based trading is desirable.
• Bayesian filtering/Hidden Markov Models experience is desirable.
• Intra-day credit curve modeling is a plus.

Responsibilities

• Perform exploratory data analysis on market datasets (bond, quote, pricing data) and generate trading signals.
• Develop and validate quantitative models to forecast bonds and commodities metrics; backtest and improve models.
• Contribute to development and assessment of trade execution.

Skills

Python

VBA

R

Mathematical modeling

Machine learning

Credit markets

US credit

Education

Ph.D. in quantitative field

Tools

TCA tools

RFQ trading

Job description

Old Mission is a global proprietary trading firm that leverages state-of-the-art technology and research to identify and execute profitable trading strategies across multiple asset classes around the world. Our offices in Chicago, New York, and London are all composed of naturally-curious individuals who thrive in a team environment and constantly strive for improvement.

About the Position

Old Mission Capital, a global quantitative proprietary trading firm, is currently hiring a talented Quantitative Researcher to join our growing Fixed Income operation. The ideal candidate will have experience trading fixed income assets, corporate bonds, and other debt instruments. This Quantitative Researcher will be familiar with building and improving the firm’s risk and pricing models, as well as understanding the risks in trading these assets.

Responsibilities

• Perform exploratory data analysis on various market datasets, including bond data, exchange quote data, and third-party pricing data, generate trading signals and evaluate how they might be applied.
• Research and develop quantitative models to forecast bonds and commodities’ various metrics, including price, bid-ask spread, liquidity, etc, prototype predictive models, and perform regressions and other machine learning analysis to validate, backtest, and improve quantitative models.
• Contribute to the development and continuous assessment of trade execution.

Required Skills

• Qualified candidates will have an advanced degree in a quantitative field (preferably a Ph.D. in engineering, statistics, mathematics or a hard science).
• Candidates need to have exceptionally high mathematical and programming skills (must be proficient in Python, VBA, or R).
• Strong quantitative, analytical, research-oriented and problem-solving skills.
• Superior communication, both written and verbal, and has the ability to handle multiple tasks in a time-sensitive, fast-paced, collaborative, collegial environment.
• Successful candidates will have a passion for the financial markets and will have an entrepreneurial mindset as the team is growing and this individual will be a value-added contributor who will have an immediate impact.
• Demonstrated experience in US corporate bonds is required.
• Qualified candidates will have previous experience in TCA, execution quality assessment, and execution algorithms with a focus on US Credit.
• Must have experience with credit pricing, credit curve models, and RFQ-based trading is desirable.
• Must have experience with Bayesian filtering/Hidden Markov Models is desirable.
• Intra-day credit curve modeling is a plus.

Benefits and Perks

• Fully paid Medical, Dental, Vision, Disability, and LIfe Insurance
• Fully stocked kitchen; free breakfast and lunch every day on-site
• Tuition Reimbursement Program
• 401(k) with employer match
• Paid Vacation, Sick, and Parental leaves
• Commuter and Flexible Spending Program

Base Salary Range

$175,000 - $250,000 - Salaries are based on numerous factors such as skills, experience, and education. Our compensation package also includes a discretionary bonus
and a comprehensive benefits program for full-time employees.

Old Mission Capital is a quantitative market-making firm founded in 2008. It prices "thousands of financial instruments globally" and has "traded trillions of dollars of securities using proprietary systems and…"