Associate Quantitative Portfolio Manager

Tudor Investment Corp. seeks an Associate Quantitative Portfolio Manager in Stamford, CT to work on Systematic trading system design, implementation, and maintenance. Build trading monitor tools and automate daily simulation, risk analysis, position valuation and trading cost reports. Build historical and live data collection systems by using Python and internal Databases for various data source and format (time series data, descriptive data, reference data etc.). Improve data quality through using data cleaning techniques. Design a streamlined process to ensure the accuracy, completeness and uniformity of input data. Develop financial forecasting and valuation models based on knowledge of partial differential equations, stochastic processes, time series analysis, cluster analysis, and factor models. Apply machine learning techniques such as Multivariate regression with L1 and L2 regularization, Neural Network, Random Forest, PCA regression, boosting, support vector machines, Kalman filter etc. on alpha signal research. Simulate swap rate paths and conditional distributions using Gaussian Copula. Ensure trading systems operate within priors and modify trading parameters as appropriate for dynamic market conditions. Manage, process, transform and visualize various trading data sets utilizing Python and SQL. May work remotely 1 day per week within normal commuting distance of Stamford, CT.

Requirements: Master's degree in financial engineering, financial economics, or a closely related quantitative field and 2 years experience with quantitative trading systems design or systematic quantitative strategy creation; 2 years experience with quantitative trading system simulation, modelling, regression and unit testing, portfolio optimization, transaction cost analytics and conducting stress tests, historical simulation, value-at-risk evaluation, and other market risk analytics; 2 years experience with commodities, FX, and fixed income market products; and proficiency in Python, C++, Matlab, and SQL. Position requires 1 year quantitative portfolio management experience, including developing and deploying systematic investment strategies across a variety of asset classes and global markets, defining new signal requirements, troubleshooting infrastructure issues. Except as noted, the skills need not be maintained over the required term of experience.

Wage range: $160,000 - $200,000 per year.