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Quantitative Researcher

Two Sigma
Quantitative Researcher
New York, US
165,000 - 300,000
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Job Description

Duties: Conducting quantitative and fundamental signal research for global interest rate markets. Develop multi-factor econometric models utilizing both macro and market variables for forecasting global interest rate markets. Create and test complex quantitative-based financial investment ideas and partner with financial engineers to test theories for interest rate markets in both developed and emerging markets. Develop forecasting models for inflation markets, swap spreads and other interest rate derivative markets. Share insights from results of quantitative research efforts focused on statistics, machine learning, and data science. Research, identify, analyze, and assess specific potential new financial investment business opportunities across new asset classes and regions using systematic approaches and quantitative, mathematics/statistics-based computational methods. Handle all aspects of research process including methodology selection, data collection, back-testing, prototyping, implementation and performance monitoring for interest rate models. Investigate market impacts on global interest rates from both traditional and alternative data sets. Design and build interest rate pricing models to analyze a broad range of interest rate risks for the team’s investment portfolios. Build tools to compute carry, rolldown and other trade related risk attributions for investments in interest rate related products. Implement methods for collecting, parsing and cleaning and storing large structured and unstructured data from different data sources. Conducting research on the forecasting power for global interest rates from these large datasets.

Minimum education and experience required: Master’s degree or equivalent in Computational Finance, Financial Engineering, Mathematical Finance, or related field plus 3 years of experience in quantitative research, or related experience.

*Skills required: Must have experience with global sovereign bonds, interest rate swaps and their related derivative markets, specifically experience in researching market drivers for US Treasury markets, US Inflation markets and US mortgage derivative markets. Must have demonstrated knowledge of quantitative skills for developing interest rate forecasting models using multi-variable regressions and advanced machine learning techniques. Must have demonstrated knowledge of quantitative aptitudes in interpreting statistics of model back-testing results used in model selection. Must have experience in building interest rate pricing models using python and other programming languages to evaluate and price various interest rate products such as swaps and swaptions. Must have demonstrated knowledge of analytical skills for computing carry, rolldown and other trade related risk attributions for global interest rate products. Must have experience in data mining and analysis using mathematics, statistical modeling, signal processing and machine learning. Must pass company’s required skills assessment. Employer will accept any amount of experience with the required skills.

Base salary: The base pay for this role will be between $165,000 and $300,000 per year. This role may also be eligible for other forms of compensation and benefits, such as a discretionary bonus, health, dental and other wellness plans and 401(k) contributions. Discretionary bonus can be a significant portion of total compensation. Actual compensation for successful candidates will be carefully determined based on a number of factors, including their skills, qualifications and experience.

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