Quantitative Researcher - Market Microstructure

Role Overview

As a Quantitative Researcher focusing on market microstructure, you will develop actionable models that the trading system utilizes, encompassing signals, fair value assessments, and the underlying logic for quoting.

Key Responsibilities

• Develop models based on market microstructure that guide real-time trading decisions including fair value calculation and signal generation.
• Conduct research on spread behavior, inventory dynamics, and adverse selection across different trading venues and market regimes.
• Convert research outcomes into executable components for the trading engine, ensuring deployment beyond theoretical notebooks.
• Create performance metrics that evaluate how effectively the system is quoting in the market.

Candidate Requirements

• In-depth understanding of market microstructure, advanced statistical methods, and time-series analysis.
• Proven experience in progressing research ideas from conceptual stages to deployment as production signals or models.
• A critical approach to analyzing results, emphasizing extensive stress-testing before accepting findings.
• Strong communication skills to clearly articulate the rationale behind model behaviors, beyond just functional performance.