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Commodities Quantitative Analyst VP/D

Citi is an American multinational investment bank and financial services corporation headquartered in New York City, NY.

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Commodities Quantitative Analyst VP/D

Position Objective: Develop and implement electronic market-making models for the Commodities businesses.

Key Responsibilities:

- Research and implement electronic market-making models (hedging algorithms, bid-offer models, price predictors, automated pricing models)

- Analyze performance of the model with actual market-making operation and issue recommendations for model improvements

Challenges:

Whilst the importance of having an analytical and quantitative mindset is imperative for success in this job, the candidate must also be practically minded, and consider its ultimate usage by traders in a production environment. This includes understanding how models generate value for the trading operation, what level of sophistication they should have in order to achieve their goals while remaining simple and easy to implement, and how model performance can be evaluated, both in testing and in production. Ability to test models thoroughly and implement the appropriate ones should be of primary focus. The position requires both attention to detail and the ability to see the “big picture” of the trading operation. A successful candidate shall have exemplary quantitative skills combined with an ability to explain models in simple terms.

Critical Success Factors:

Develop market making and algorithmic pricing models for different Commodity markets. Improve and extend the functionality of models currently used in production and build hedging strategies.

Development Value:

The job offers the possibility to learn the microstructure of Commodities markets at a time when the role of electronic trading and systematic strategies is rapidly increasing.

It also gives the opportunity to work in a closely integrated team comprised of traders, quants and technologists, with exposure to all aspects of the operation.

Knowledge/Experience:

Experience working in a systematic trading field (execution algorithms/statistical arbitrage/electronic market making) is a requirement. Proven success in solving practical problems (ideally in finance) using statistical and machine learning techniques is essential. Familiarity with Commodities markets and products is desirable.

Skills:

Strong programming skills in C++ and/or Python. Proficient in database applications (for example, SQL or KDB). Ability to work with large data-sets.

Qualification:

M.S. or Ph.D. in mathematics, physics, statistics, engineering or financial engineering.  We are looking for candidates at both Associate and VP levels.

Competencies:

Attention to detail. Ability to work in a team environment and to work well under pressure. Strong written and verbal communication skills.

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Job Family Group:

Institutional Trading

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Job Family:

Quantitative Analysis

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Time Type:

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