Manager - Execution Services Analytics Team - Portfolio Strategies

Role Purpose (overall high level summary of the role)

Work within the Execution Services Analytics team in Bangalore to create systematic trading strategies for Cash Equities

Specific responsibilities include

- Create an automated process to measure and produce the Alpha profile of the order flow by implementing the existing model and regularly calibrating it

- Produce daily, weekly and monthly reports on flow toxicity and aggregate the data using different factors and run customized reports

- Implement and calibrate the toxicity prediction model using historical order flow data

- Maintain a benchmarking model for Risk Unwind cost calculation

- Create an automated service to measure the Loss Ratio and produce daily and weekly reports to assess the quality of the unwind, and compare it to different benchmarks

- Backtest various unwind strategies and optimise the holding period given the Alpha profile of the trade vs the liquidity of stock

Knowledge & Experience / Qualifications:

- 1-3 years - experience working with financial data or economic data

- Strong technical skills with post-grad qualification MSci / MBA in Applied mathematics or statistics or engineering

- Good computer science knowledge : KDB, Java, C++