Senior Quantitative Researcher - Market Impact

Millennium Management

Millennium Management

London, UK
Posted on Feb 12, 2025
Senior Quantitative Researcher - Market Impact

The Central Liquidity Strategies (CLS) business manages a number of portfolios and products designed to optimize the firm’s trading and execution approach by providing internal liquidity solutions for portfolio managers on both a risk and agency basis.

We are currently seeking a Senior Quantitative Researcher with a focus on market impact modelling. The ideal candidate will have significant experience with this topic both academically and practically, including a strong awareness of the latest academic research, experience in fitting these models in real-world scenarios, and challenges including data and potential biases.

Principal Responsibilities

The successful candidate will be expected to:

  • Research the applicability of various market impact models to a variety business flows
  • Build fitting tools and analytics to support the research process and model calibration
  • Partner with PM / trading stakeholders to implement models into the portfolio construction process
  • Research models applicable to asset classes outside of Equities

Qualifications/Skills Required

  • Bachelor's degree in Mathematics, Statistics, Physics, Finance, Economics, Econometrics, Financial Engineering, Operations Research or similar
  • 3+ years’ experience in a Quantitative Research / Quantitative Trading role with a significant or exclusive focus on market-impact research / fitting
  • Excellent analytical and quantitative skills
  • Excellent communication skills, with the ability to work effectively in a team environment
  • Ability to use Python / KDB for analytical / research purposes