Quantitative Trading Analyst

Cutler Group, LP has a job opening for a Quantitative Trading Analyst at its San Francisco, California, location.

Responsibilities

  • Utilize Semi-automated Business Research Environment (SABRE) pricing model to evaluate leveraged exchange-traded funds (ETFs) vs base ETFs; perform time series analyses and track trade signals.
  • Monitor Yahoo Finance, Google Finance, and third party data vendor for equity data including volatility, earnings, and dividends; utilize SQL to merge and synchronize data from different sources into one consistent and reliable data set.
  • Employ Visual Basic and SQL to compute and track various market indices’ implied and realized correlations; assist trading and risk managers in formulating dispersion trade strategies.
  • Develop a Monte Carlo simulation model to enhance the SABRE pricing model for ETFs.
  • Analyze daily markout report to determine execution quality.
  • Help analyze portfolio risk exposure across correlated products by utilizing various risk management apps.
  • Gather data to create and maintain a historical realized and implied volatility database; spot check the data for accuracy.
  • Back test and implement different signals on dispersion and intra-sector relative value.
  • Generate trading ideas and strategies based on fundamental research of the impact of drug trial data for pharmaceutical companies.
  • Research the effect of earnings events to develop an event driven trading strategy.
  • Create a binary event option pricing model and use the model to assist traders in trading biotechs and possible takeover situations.
  • Scan news wires for any information that may affect volatility of stocks.
  • Design and develop an accounting model in Visual Basic and SQL to analyze futures to price oil trust royalties.

Required

  • Master’s degree or foreign equivalent in Financial Engineering, Economics, Mathematics, Computer Science or closely related field
  • One (1) year of experience with financial quantitative analytics
  • Must have following skills from academic or industry:
    • Implementing numerical methods in C++
    • Black Scholes mathematical model
    • Monte Carlo methods for jump-diffusions with state-dependent drift, volatility, jump size and intensity
    • Asymptotic expansion for option pricing
    • SQL and Python languages

Compensation:

Cutler Group LP offers competitive salary and employee benefits as per industry standards with participation in annual bonus pool plan. Employee benefits include health, dental, and life insurance as well as a 401(k) and Flexible Spending Account.

Cutler Group LP Information
Cutler Group is a derivative trading firm located in downtown San Francisco. As market hours are from 6:30 AM to 1 PM (PST), work hours are on the early side – beginning at 6:00 AM.

Due to the volume of responses, we can only respond to the candidates selected for interviews. Principals only please. Please send resume to careers@cutlergrouplp.com and reference job code QTA-620 in subject line.