Quantitative Researcher -Data Infrastructure & Signal Development

Principal Responsibilities

• Build and maintain the research data pipeline: ingestion, cleaning, normalization, and storage of tick-level and minute-bar equity data
• Design and Implement a high-performance research environment using Python, Polars for interactive analysis of large datasets
• Develop, backtest, and validate intraday alpha signals using statistical methods and classical machine learning (Lasso, Ridge, tree-based models)
• Perform feature engineering on market microstructure data: order flow, spread dynamics, volume profiles, and cross-sectional patterns
• Build automated backtesting frameworks with realistic transaction cost modeling and slippage estimation
• Collaborate with the C++ developer to publish validated signals into the production trading engine
• Monitor live signal performance, detect regime changes, and maintain signal quality over time

Required Skills/Qualifications

• Bachelor's or Master's degree in Mathematics, Statistics, Physics, Computer Science, Financial Engineering, or a related quantitative field
• 3+ years of experience in a quantitative research or data-intensive role in a buy-side or sell-side financial firm
• Strong programming skills in Python with deep proficiency in Polars, Pandas, NumPy, and SciPy
• Solid understanding of statistical methods: regression, time-series analysis, hypothesis testing, cross-validation
• Familiarity with equity markets, market microstructure, and intraday trading dynamics
• Strong data engineering instincts: schema design, data quality, pipeline reliability
• Detail-oriented with strong problem-solving skills and intellectual curiosity
• Excellent communication skills and ability to work in a small, fast-paced team

Preferred Skills/Experience

• Experience with tick-level or order-book data analysis
• Familiarity with Apache Arrow, Parquet, and columnar data formats
• Experience with kdb+/q for time-series data
• Familiarity with Al-assisted development tools (Cursor, Claude Code)

Benefits

Millennium offers a total compensation package which includes a base salary, discretionary performance bonus, and comprehensive benefits. The estimated base salary range for this position is $150,000 to $200,000, which is specific to New York and may change in the future. When finalizing an offer, we take into consideration an individual’s experience level and the qualifications they bring to the role to formulate a competitive total compensation package.