Quantitative Analyst (Rates Electronic Market Making)

The Quantitative Analyst is a strategic professional who closely follows the latest trends in their field and adapts them for application within their job and the business. Recognized subject matter expert within one area, strong commercial awareness is a necessity. An acknowledged authority both within and outside their area of expertise. Excellent communication skills are required in order to negotiate internally, often at a senior level. Some external communication is typically required. Provides advanced judgment and conducts in-depth quantitative or qualitative analysis to solve problems and develop new, innovative solutions.

Position Objective:

• Develop and implement automated market-making models and data-driven trading tools for the rates business.
• Improve and transform infrastructure for automated market-making models and data-driven trading tools.

Responsibilities:

• Implement electronic market-making models (hedging algorithms, bid-offer models, price predictors, automated pricing models), using a wide variety of programming languages, including Java, KDB, Python.
• Implement data-driven tools for trade recommendations and trading activity analysis.
• Optimize and streamline existing technology stack used for pricing, hedging and trading analysis, including live pricing and backtesting. Define and develop strategic improvements to the existing technology stack. Keep abreast of technological innovations to facilitate their adoption within the team and coordinate migrations from legacy systems.
• Collaborate closely with Traders, technology professionals and data specialists.
• Work in close partnership with control functions such as Legal, Compliance, Electronic Trading Risk Management, Model Risk Management and Market Data Team in order to ensure appropriate governance and control infrastructure.
• Build a culture of responsible finance, good governance and supervision, expense discipline and ethics. Define and disseminate technological best practices within the team.
• Appropriately assess risk/reward of transactions when making business decisions; and ensure that all team members understand the need to do the same, demonstrating proper consideration for the firm’s reputation.
• Be familiar with and adhere to Citi’s Code of Conduct and the Plan of Supervision for Global Markets and Securities Services; and ensure that all team members understand the need to do the same.
• Adhere to all policies and procedures as defined by your role which will be communicated to you.
• Obtain and maintain all registrations/licenses which are required for your role, within the appropriate timeframe.
• Appropriately assess risk when business decisions are made, demonstrating particular consideration for the firm's reputation and safeguarding Citigroup, its clients and assets, by driving compliance with applicable laws, rules and regulations, adhering to Policy, applying sound ethical judgment regarding personal behavior, conduct and business practices, and escalating, managing and reporting control issues with transparency.

Challenges:

• The candidate must be practically minded, a quick learner and focused on details. They must possess or be able to develop an in-depth understanding of the business and modelling requirements, to map them onto technical solutions, to identify technical implementation challenges and to provide critical feedback on models from the technical point of view.
• The role requires proficiency in a wide range of technologies, and an understanding of how to make them work together, since the team uses a multitude of programming languages and applications.
• The position requires very strong technical abilities, as the role is partially focused around improving and transforming the technology stack used to deliver market-making models and trade analysis tools. In particular, the candidate must be proficient in understanding and taking ownership of existing technologies, but also must be able to think strategically about the build-out of new technologies, and about migrations from one framework to another.

Qualifications:

• Extensive experience in the algorithmic trading space.
• Extensive programming experience.
• Technology/programming skills in Rust, C++, Java, KDB, Python, SQL.
• Extensive experience in messaging and data serialization technologies, market data processing, API design, latency optimization, code testing, build and deployment tools.
• Experience in taking ownership of existing technologies, building new ones, and performing technology migrations.
• Working knowledge of rates financial instruments and mathematical tools used in algo trading.
• Consistently demonstrates clear and concise written and verbal communication skills.

Education:

• Master’s degree preferred.