Research/Quant/Quantitative Engineer
Pragma Financial Systems is seeking new members for our quant team.
Pragma is an industry leader in the area of high-frequency trading and execution optimization. Our product distinguishes itself from competing offerings with its sophistication and rigorous mathematical underpinnings, so strong research is at the very core of our activities. Our uncompromising approach has resulted in a product that is acknowledged by our many institutional clients to be the best in its class. Building on this foundation, we are expanding aggressively, both in our main software offerings and in new areas of quantitative trading. Quants will be performing fundamental research in topics relevant to high-frequency trading, including execution optimization, risk management and trading strategies. They will participate actively in the development and implementation of results from their research.
At an absolute minimum, a successful candidate must:
- Be very smart, curious and interested in quantitative finance.
- Have solid graduate-level mathematical training. We prefer at least a master’s degree in physics, mathematics, engineering or the physical sciences. This isn't the place to be if you've forgotten your calculus or aren't ready to answer statistics questions.
- Be an excellent programmer with strong experience developing in modern, object-oriented languages like Java, C++ or C#. Even more important, enjoy programming. Our critical advantage is the ability to deploy trading algorithms better and faster than anyone else, so we don't have a strong divide between research and development. Expect detailed technical questions covering design, syntax and data structures.
- Have excellent technical writing and communication skills.
In addition, we look for skills that will apply specifically to our area of finance and tool-set:
- Professional experience building, refining and analyzing equity trading algorithms
- Experience with very high-frequency financial data
- Professional-level knowledge of Java.
Note that we do not do any work with asset-backed derivatives; experience with structured products is by no means a disqualification, but it isn't something we pay for.
Some relevant academic literature:
- Engle and Dufour, "Time and Price Impact of a Trade" (PDF)
- Almgren, Thum et al, "Direct Estimation of Equity Market Impact" (PDF)
- Chriss and Almgren, "Optimal Execution of Portfolio Transactions" (PDF)
- Lillo, Farmer and Mantegna, "Master Curve for Price-Impact Function" (PDF)
- J.-P. Bouchaud, J. Kockelkoren and M. Potters, "Random walks, liquidity molasses and critical response in financial markets" (PDF)
- Merrell Hora, "Tactical Liquidity Trading and Intraday Volume"(gateway to PDF )
For more information, or to submit a résumé or cover letter, please contact us.
