Lead a team in developing and implementing optimization routines and electronic market-making models for the fixed income ETF business.
- Research and implement optimization routines for creation/redemption of ETFs.
- Build electronic market-making models (hedging algorithms, bid-offer models, price predictors, automated pricing models)
- Analyze performance of market-making operation and issue recommendations for model adjustments and new model development
- Protect our clients and the franchise through a relentless commitment to control and governance built on the
- highest standard of personal ethics and responsibility.
- Adhere to and cascade all supervisory training and tools to create a culture of responsibility encompassing our clients, our shareholders and each other.
- Builds talent and teams for Citi by creating a culture of meritocracy and transparency and celebrating excellence, initiative and courage.
The candidate must be practically minded – he or she must understand 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. The position requires both attention to details and the ability to see the “big picture” of the trading operation.
Critical Success Factors:
- Ability to take initiative and work with desk/IT and the other members of the team
- New optimization algorithms and pricing algorithms, including short-term microstructure predictors.
- Automation of flow analysis and bid-offer spreads.
- Improvements to hedging and hedge execution algorithms.
- Candidate must be technically strong and understand how to efficiently use the systems available for data analysis.
ETF business is a new business. Job provides an opportunity to learn about how the ETFs work and also provides opportunity to learn about different fixed income markets. 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.
- Extensive experience in statistics or machine learning and in a systematic trading field (execution algorithms/statistical arbitrage/electronic market making).
- Familiarity with corporate bond and interest rate products and market microstructure.
- Strong programming skills in a scripting language (Python, R, Matlab) and in Java, C# or C++.
- Proficient in database applications (f.ex. KDB) and visualization tools.
- Ability to work with large data-sets.
- M.S. or Ph.D. in mathematics, physics, statistics, operations research, engineering or financial engineering.
Attention to detail.
- Ability to work on a team and to work well under pressure.
- Strong written and verbal communication skills.
Citi, the leading global bank, has approximately 200 million customer accounts and does business in more than 160 countries and jurisdictions. Citi provides consumers, corporations, governments and institutions with a broad range of financial products and services, including consumer banking and credit, corporate and investment banking, securities brokerage, transaction services, and wealth management. Our core activities are safeguarding assets, lending money, making payments and accessing the capital markets on behalf of our clients.