Senior Quantitative Portfolio Strategist
vor 14 Stunden
Overview
MCP (Switzerland) GmbH seeks a highly skilled Senior Quantitative Portfolio Strategist to develop and maintain statistical arbitrage strategies for the company's portfolio.
Responsibilities
- Develop and maintain statistical arbitrage strategies for the company's portfolio.
- Analyze predictive mathematical models produced by researchers and develop algorithms to combine the models into a portfolio generating statistically significant returns.
- Construct new algorithmic trading strategies using predictions developed by researchers.
- Optimize the risk/reward ratio of the portfolio of own strategies.
- Apply filtering techniques to predictive signals in order to filter out random noise.
- Manage the day-to-day evolution of strategies in response to changes in the market environment.
- Stay on top of the latest quantitative research trends in both academia and industry.
- Evaluate and allocate capital to strategies, targeting optimal value-added to the company portfolio.
Requirements
- Master's or higher in Computer Science, Computer Engineering, Electronic Engineering, Statistics, Operations Research, or a closely related quantitative field.
- 5 years' experience as a Regional Research Director, Vice President, Research, Senior Quantitative Researcher, Quantitative Researcher, or in similar position(s), which must include:
- Experience working with Portfolio Managers and Researchers on alpha signal combination research and development.
- Experience using data API for trade execution to implement trading strategies individually developed, across major exchanges throughout the United States, Europe, and Asia.
- Mathematical maturity, and the application of data analysis, linear algebra, logic, probability, statistics, and optimization techniques.
- Experience applying advanced statistical modeling techniques, including machine learning, regression, and multivariate statistics.
- Programming experience in C++, Python, Matlab, or R programming languages; and SQL.
- A good understanding of equity, futures, and currency markets.
- Experience with Linux operating system.
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