[R-jobs] R role

[Chris Forbes]

Hi All,

 

I am looking for an expert R programmer who has also used Java or C++ and
who is educated at either masters or PhD level.  I do not mind what industry
background you are in if you have these skills.  I am offering a rare but
excellent career opportunity to work with real time trading data sets, data
modeling and data mining the commodities index to help this top 5 investment
banks algorithmic trading desk.

 

I have attached the spec.

 

 

Job Title:

 

Fixed Income/Commodities/Quantitative Trading Strategies

 

Location:

 

London

 

 

Salary Range:

 

Negotiable 

 

 

Role Description:



Organisational structure

You will be joining a young and growing front-office team of quants and
technologists, conducting automated algorithmic fixed-income trading, in a
large, international investment bank.

 

Scope of role

We are looking for a skilled statistician/programmer who seeks a career at
the intersection of finance, applied statistics and computer science. This
position requires a person with a strong background in data analysis, design
and implementation of algorithms, software development and statistical
methodology.

The primary responsibilities are to develop software, using the S language
(both R and S-Plus dialects) , for 

*       Handling and analysing high-frequency streaming financial data, 

*       Interfacing R/S-Plus to other languages, especially Java,

*       Applying high-dimensional regression,

*       Applying machine learning applications,

*       Assisting in the prototyping and testing of trading algorithms. 

This is a new role, based in London but an important component will involve
liaising with teams in other centres.

 

Prerequisites

*       A strong academic background, with advanced degrees in mathematical
disciplines. 

*       Demonstrable experience with the S language, is essential.

 

How the role will develop

Responsibilities include the development and implementation of:

*       Generic filtering/cleansing of high-dimensional, high-volume noisy
tick data, 

*       Construction of testing harnesses for trading strategies, 

*       Implementing generic simulators for algorithmic verification and
robustness checking,

*       Backtesting and risk & performance analysis.

 

 

This includes creating 

 

*       Language interfaces, 

*       Underlying core computational routines, probably in Java, 

*       Automated test and validation routines, 

*       Related documentation such as help files and user's guides,

 

These tasks require interactive collaboration with analysts and
technologists, to quantify the complexities arising from noisy tick data
being handled by autonomous, real-time trading agents. With experience, the
candidate is expected to work independently. Responsibility will rise in
line with demonstrated abilities.

The preceding paragraphs summarise the general nature and level of work
involved but they are not an exhaustive list of all duties, additional
responsibilities may be assigned by management, as required.

Compensation is commensurate with that of the investment banking industry
and, for proven performers, directly related to the financial success of the
team.

 

Work Environment/Physical Demands:  

*       Ability to code while sitting on a large, noisy and dynamic trading
floor.

*       The position is based in London but an important component will
involve liaising with teams in other centres.

 

Impact of role

The impact of results can be substantial depending on the quality of
results, which are reflected in the financial performance of the team.

 

 

Contact

 

Chris Forbes

Managing Director

Ph.D search & Selection

+44-(0)20-7190-2970

+44-(0)777-564-6084

Chris.forbes using phdit.com 

www.phdsearchandselection.com <http://www.phdsearchandselection.com/>


 

 

 

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