Open Position: Quantitative Research Associate-Microstructure
Quantitative Research Associate - Microstructure
New York Office (The Millburn Corporation)
Reports to Director of Research
Millburn seeks an associate-level quantitative research candidate to support the firm's ongoing systematic research efforts with a particular focus on studying market microstructure. Research team members are responsible for solving problems relating to the development of and improvement of investment approaches for the markets we trade.
Millburn's Research team is responsible for the research and development of quantitative strategies and portfolio management across major asset classes (Futures, FX, and ETF markets). Millburn’s strategies trade both long and short, seeking superior risk-adjusted returns with minimal correlation to traditional long-only indices. Members of the research team come from diverse quantitative backgrounds.
The Research team favors an open, academic environment as opposed to a silo approach, encouraging idea generation and collaboration, while benefiting from close peer review and constructive criticism. The team is focused on a constant, iterative process of improving portfolio construction and risk- adjusted returns for each investment we trade.
Nature and Scope of Responsibilities:
- Research and develop short term alpha strategies leveraging knowledge of market microstructure
- Design, test, and implement quantitative execution algorithms to minimize market impact and trading costs
- Conduct research in predictive transaction cost modeling, and manage transaction cost data set
- Attend weekly research meetings to update on the progress of current projects and provide feedback and suggestions to other team members
Qualifications / Requirements:
- At least three years’ experience working with market microstructure and predictive cost modeling in futures markets
- Strong knowledge of orderbook dynamics and algorithmic execution
- Must have a degree from a top-tier institution in a quantitative discipline
- Must have superior research capabilities, demonstrated in prior academic or industrial research projects
- Strong programming skills in at least one of R, Python, C++, or MATLAB
- Experience with OneTick database is desired but not required
- Familiarity with machine learning techniques preferred – you will be working alongside our modeling team which heavily relies on these techniques
- Familiarity with mathematical optimization techniques
- Excellent verbal and written communication skills
What We Offer:
This is an exciting opportunity to help grow an established firm. We offer a culture of independent thinking, while providing many opportunities for learning and career growth. We also offer a highly competitive salary and bonus with outstanding benefits including Medical Coverage, Health Savings Accounts, Employee Assistance Program, Life Insurance, Disability Coverage and 401(k) plan.
Note: This position outline reflects the general responsibilities and level of work being performed by employees in this position. It is not intended to be an exhaustive list of all duties, responsibilities and qualifications of employees assigned to this position. Nothing in this position outline restricts management’s rights to assign or reassign duties and responsibilities to this job at any time.
The Millburn Corporation provides equal employment opportunities (EEO) to all employees and applicants for employment without regard to race, color, religion, gender, sexual orientation, gender identity or expression, national origin, age, disability, genetic information, marital status, amnesty, or status as a covered veteran in accordance with applicable federal, state and local laws. The Millburn Corporation complies with applicable state and local laws governing non-discrimination in employment in every location in which the company has facilities. This policy applies to all terms and conditions of employment, including, but not limited to, hiring, placement, promotion, termination, layoff, recall, transfer, leaves of absence, compensation, and training.