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Systematic Portfolio Manager - Global Macro

Employer
Analytic Recruiting Inc.
Location
New York, USA
Salary
$150k - $200k
Closing date
Apr 1, 2023

View more

Job Function
Other
Industry Sector
Finance - General
Employment Type
Full Time
Education
Bachelors
Responsibilities:
  • Develop systematic macro strategies (mid and high frequency): signal/idea generation, backtesting, optimal execution.
  • Develop daily/intraday signals for a systematic portfolio with exposure to G10 &EM rates, FX, and equity.
  • Research on intraday price/volume and order book/microstructure data, sampling techniques, execution optimization, trade simulations, daily positioning, flow strategy, and signal generation.

• Responsible for FX/rates derivatives pricing: futures, NDFs, swaps, etc. building sovereign curves and volatility surfaces models for G10 and EM currencies. FX, equity options strategy, and options portfolio construction. Implied volatility pricing, forecasting (SABR), and term structure models.
  • Help to build up systematic signal backtesting infrastructure, including data pipelines, C++ coding, and OTC derivatives pricing libraries.

Requirements:
  • Advanced Quantitative degree (Computer Science, Statistics, Math)
  • 3+ years of relevant quantitative research experience developing and implementing global macro systematic strategies.
  • Demonstrated experience working with ETF, Rates, FX, equities, and futures.
  • Proven successful systematic mid and high frequency trading experience.
  • 3+ years of quantitative research experience working on alpha generation, trade optimization, risk management, transaction cost analysis, and portfolio construction.

Base Salary Range : $150,000-$200,000. This represents the presently anticipated low and high end of the Company's base salary range for this position. The actual base salary range may vary based on various factors, including but not limited to location and experience.

Total Direct Compensation : This job is also eligible for discretionary bonus and incentive compensation on an annual basis.

Keywords: Systematic Trading, Quantitative Research, Alpha Generation, Trade Optimization, High-Frequency Trading, Futures

Please send resume to Jim Geiger jeg@analyticrecruiting.com

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