Data Scientist - Modeling

Role Summary

Design, implementation, and productionization of predictive features from high-frequency high-volume intraday datasets; sitting at the intersection of modeling, data-science and finance; requiring domain understanding of the underlying data; ability to formulate and test feature hypotheses; and work with engineering partners to deliver robust production pipelines. A key emphasis is advancing the team’s LLM-based featurization platform to systematically ideate, generate, evaluate, and refine features from complex intraday datasets.

Key Responsibilities

• Intraday Feature Development
• Design and implement features from intraday options feeds, microstructure and order book, etc.
• Serve as the team's expert on vol markets. Produce frequently updating features for spot trading based on data from these markets
• Leverage modern AI to maximum effect at every stage of the feature development process
• Rigorous QA including lookahead detection, coverage analysis, and vendor data reconciliation
• Collaborate with modelers on the team to evaluate predictiveness and integrate features into production models
• LLM-Based Featurization
• Participate in the team’s focus on LLM-based featurization and agentic workflows. Share skills, insights, etc. with team mates
• Scale existing LLM featurization pipelines to new intraday datasets – esp. OPRA and microstructure
• Design prompting strategies and directives to generate domain-informed features at varying complexity levels
• Build evaluation frameworks for LLM-generated features (normalization, residualization, learner-based testing)

Qualifications

• Good understanding and intuitions about intraday options markets data -- OPRA, NOTO, PHOTO, PHILX, open-close options data
• Experience building LLM-based featurization pipelines -- including iterative improvement, automated testing, and productionization
• Experience with time-series data, financial datasets, or quantitative research
• Ability to work independently on ambiguous research problems while delivering production-quality output
• Experience working with high frequency trading platforms and infrastructure
• Strong communication skills - ability to present at forums like FeatureCon and collaborate across modeling and engineering

Core Benefits

• Fully paid medical and dental insurance premiums for employees and dependents
• Competitive 401k match
• Employer-paid life & disability insurance

Perks

• Onsite gyms with laundry service
• Wellness activities
• Casual dress
• Snacks
• Game rooms

Learning

• Tuition reimbursement
• Conference and training sponsorship

Time Off

• Generous vacation and unlimited sick days
• Competitive paid caregiver leaves

Hybrid Work Policy

• Flexible in-office days with budget for home office setup