Job Information
Citigroup Global Markets Inc. Quantitative Analyst in New York, New York
Citigroup Global Markets Inc. seeks a Quantitative Analyst for its New York, NY location.Duties: Perform equity/ETF (Exchange-Traded Fund) trading system development. Work with traders to develop trading tools, pricing models, alpha signals, and risk measures. Analyze portfolio and risk management algorithms. Develop and enhance the algorithmic portfolio management systems to balance risk, transaction costs, tracking error, and expected return of trading books. Perform model implementation and infrastructure development. Work cross-functionally to enhance the trading desk business through strategic development of the modeling, risk, and trading infrastructure. Perform post-trade analysis for ETF RFQ (Request for Quote) business. Analyze RFQ records to develop strategies that can enhance RFQ response rates and improve pricing competitiveness. Perform market microstructure and impact cost research. Utilize execution data and market data to build and calibrate market impact models for ETFs, stocks and portfolios. Utilize market impact models and optimization techniques to optimize pricing and hedging methodologies to balance cost and risk. Remote work may be permitted within a commutable distance from the worksite, in accordance with Citi policy.Requirements: Master’s degree, or foreign equivalent, in Financial Mathematics, Financial Engineering, Mathematics, or a related field, and two (2) years of experience in the job offered or in a related occupation. Must possess two (2) years of experience with all of the following: Programming skills including Python, and Q/KDB; Pricing stocks, ETFs, and risk management; Market microstructure and market impact cost modeling; Using algorithmic trading strategies for trading execution optimization and risk control; ETF creation and redemption; Applying statistical methods, including regression and clustering, to large financial datasets to build, modify, and calibrate quantitative finance models; and Delivering production projects for trading businesses. 40 hrs./wk. Applicants submit resumes at https://jobs.citi.com/. Please reference Job ID # 24756851. EO Employer.
Minimum Salary: 200000.00 Maximum Salary: 250000.00 Salary Unit: Yearly