Virtu is a leading financial firm that leverages cutting edge technology to deliver liquidity to the global markets and innovative, transparent trading solutions to our clients. As a market maker, Virtu provides deep liquidity that helps to create more efficient markets around the world. Our market structure expertise, broad diversification, and execution technology enables us to provide competitive bids and offers in over 19,000 securities, at over 235 venues, in 36 countries worldwide
The firm’s complementary core offerings—market making, client execution services, and trading venues—give Virtu a competitive advantage in developing and applying innovative tools that deliver efficiencies and performance across the organization.
As a Quantitative Strategist at Virtu, you'll apply analytical and programming skills to conduct trading and investment related research. You'll work alongside a strong team which builds and implements statistical models for equity, futures, FX and fixed income markets. The position assumes conducting research, development and maintenance of mathematical/statistical models that can be used in the trading process, for post-trade analysis, and for pre-trade analysis.
These models are utilized as trading tools or to assess the performance of institutional clients through peer group comparison, performance analytics and cost attribution. Special focus will be on R&D of Virtu’s next generation post-trade transaction cost model. This will include market impact research, identification of pre- and post-trade transaction cost factors, familiarizing with existing code infrastructure, enhancing / automating the calibration process and finding actionable applications.
- Work closely with Virtu’s entire quantitative research group to conduct formal quantitative analyses from the research question formulation to presentation of outcomes, typically including written summaries and/or business recommendations
- Maintain and support of existing models and products
- Apply principles of modular software development for scientific computing
- Assist with in-depth development of models and processes
- Effectively document use cases and requirements
- Apply statistical, mathematical, and market microstructure theory to conduct investment and trading related research, including data collection, statistical modeling and interpretation, and implementation
- Formally create models of risk, return, and trading cost profiles for equities and other asset classes
- Leverage information design concepts and principles to create compelling and effective charts, tables, presentations and other visuals that convey analytical results clearly and effectively
- Assist with project-specific guidance for others in performing analyses
- Identify issues and areas in need of statistical analysis and/or enhancements of computational algorithms
- PhD in a quantitative field (e.g. applied mathematics, physics, computer science, applied statistics, or economics)
- 0-4 years’ work experience in finance of related industry.
- Knowledge of probability theory, statistics
- Experience with C++, Linux Shells, and Python (numpy, scipy) is required
- Know-how in modular software development for scientific computing (algorithmic implementation, running simulations) is required
- Knowledge of data analysis using applied statistical methods and machine learning techniques will be preferred
- Knowledge in financial data (especially real-time streams) and processing them through multi-tier architectures is highly desirable
- In-depth knowledge of algorithms, data structures, object-oriented analysis and design
- Hands-on experience with SQL or other databases is strongly preferred
- Strong desire to develop and integrate quantitative skills within the required scope of designing and implementing analytic solutions
- Demonstrated ability to translate research into usable, value-added tools and information
- Strong written and verbal communication skills, including ability to effectively communicate quantitative topics and concepts
- Ability to work independently, handle multiple tasks simultaneously and adapt quickly to changes
- Highly self-disciplined, detail- and results-oriented