Quantitative Researcher: Fixed Income

The Role

Virtu is looking for an experienced, detail-oriented Quantitative Researcher to join our Financial Engineering team in Boston, supporting our Virtu Execution Services Business.

The emphasis of this position is on the research, development, deployment and support of our industry-leading statistical models for pre and post-trade decision support for fixed income securities and making them available for trading applications.

• Conduct trading related research and development by applying principles of scientific computing, statistical learning as well as analytical and programming skills.
• Create actionable products that improve decision-making for equity, fixed income, FX, and other asset classes across a diverse client base.
• Lead new improvements and/or initiatives, and handle their support.
• Develop re-usable common framework components and contribute to interfaces that expose features of our analytics/model to internal and external clients.
• Apply advanced data processing and statistical learning techniques to enhance expert knowledge in measuring and analyzing realized transactions costs of Virtu’s peer clients.
• Conduct critical comparison of alternative data sources and, if necessary, integrate them in the production pipeline.
• Effectively document use cases, requirements and architectural specifications related to the models and applications.
• Work with product managers, FI trading desk and client services teams to understand, prioritize and effectively execute requirements.

Requirements

• PhD or Master’s degree in a quantitative field.
• Minimum of 7+ years in finance, specifically Fixed Income.
• Institutional knowledge of fixed income markets with emphasis on trading-related aspects.
• Strong python programming skills, including experience with scalable software design and development (not just scripting).
• Experience with relational databases is a must.
• Previous experience with statistical, machine learning and optimization techniques.
• Hands-on experience with intraday financial data and analytics.
• Ability to effectively use the Linux platform for development and data processing.
• Familiarity with KDB/q and/or knowledge of C++ is a plus.