3 days old

Quantitative Analyst AVP C-12

New York, NY 10176
MQA is a division of Global Markets business and has responsibility for providing analytical models which are used for pricing securities and risk managing the firms positions throughout the Markets businesses.

Our teams focus is to deliver time series and relative value analysis to front office trading desks. The time series analytical library is written in C++ and it is primarily used in Excel as addins. The new React-based web application framework is an alternative delivery mechanism for our analytical results. A web-enabled, automated batch system is used to derive special RV indicators from daily and intraday market data. The batch system supports Python and Perl scripting languages. The time series addins provide a suite of statistical/econometric and charting functions to analyze cross-asset market data in Excel, Python, Perl, Java, and C++. In tandem, we use pricing models (analytic addins) developed by other (asset-specific) teams within MQA, to create asset-specific as well as cross-asset analyses. In Rates space, our team has developed a calculation server component (in C++) that allows on-demand delivery of derived rates data into the analytics.

The role requires working with traders to help them analyze/formulate trading strategies. This role requires strong problem-solving skill, strong Excel sheet development skill, and great understanding of modern econometric/statistical/deep learning functions. This role also requires liaising with other quant teams to understand how to use their libraries.

**Responsibilities Include:**

**** Working with G10 Rates traders, sales and strategists to discuss relative-value trade analysis and translate it in formal terms.

Developing Excel spreadsheets and react-based web applications to deliver analysis.

Developing new C++ functions to extend the time series analytic library.

Developing Python scripts for intraday trade analysis and overnight batch by using state-of-the-art machine learning technologies, e.g., PyTorch, Keras, scikit-learn and JAX.

Maintaining current intraday data infrastructure in kdb+, sometime involving investigation in other teams systems when there are data issues.

Collaborating with our colleagues in MQA and IT who also work with big data and market analysis, as we expect synergies between our team and the rest of the company to increase in the next few years.


**Ideally the candidate will have:**

+ 2+ Years of front desk experience in econometric, statistical and machine learning technologies applied to financial time series.

+ Advanced degree from a top tier academic institution in a quantitative field. At least a Master Degree in Mathematics, Financial Engineering, Physics, Econometrics, Statistics or mathematical field. Exceptional candidates who do not meet these criteria may be considered for the role provided they have the necessary skills and experience.

+ Knowledge of financial markets: Fixed-Income, FX, Commodities (it can be in-depth in any of them or general in two or more).

+ Programming experience in some or all of the following: C++, VBA, Python, kdb+ q, understanding Perl is helpful.

+ Excellent verbal and written communication skills.

+ Ability to handle multiple projects and to work well in a fast paced environment.

+ Valuing diversity: We are a global team of diverse backgrounds. The candidate should have demonstrated appreciation of differences in style or perspective and ability to add value to decisions, actions, and organizational success.


**Job Family Group:**

Institutional Trading


**Job Family:**

Quantitative Analysis


**Time Type:**

Full time


Citi is an equal opportunity and affirmative action employer.

Qualified applicants will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, or status as a protected veteran.

Citigroup Inc. and its subsidiaries ("Citi) invite all qualified interested applicants to apply for career opportunities. If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review **Accessibility at Citi (https://www.citigroup.com/citi/accessibility/application-accessibility.htm)** .

View the "EEO is the Law (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/eeopost.pdf) " poster. View the EEO is the Law Supplement (https://www.dol.gov/sites/dolgov/files/ofccp/regs/compliance/posters/pdf/OFCCP\_EEO\_Supplement\_Final\_JRF\_QA\_508c.pdf) .

View the EEO Policy Statement (http://citi.com/citi/diversity/assets/pdf/eeo\_aa\_policy.pdf) .

View the Pay Transparency Posting (https://www.dol.gov/sites/dolgov/files/ofccp/pdf/pay-transp\_%20English\_formattedESQA508c.pdf)


Effective November 1, 2021, Citi requires that all successful applicants for positions located in the United States or Puerto Rico be fully vaccinated against COVID-19 as a condition of employment and provide proof of such vaccination prior to commencement of employment.
Citi is an equal opportunity and affirmative action employer.
Minority/Female/Veteran/Individuals with Disabilities/Sexual Orientation/Gender Identity.


Posted: 2022-05-13 Expires: 2022-06-12

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Quantitative Analyst AVP C-12

New York, NY 10176

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