Manager - Model Validation - Cash Equities - Python - Execution Services Analytics Team

Job Responsibilities:

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 (For the role - not the role holder. Minimum requirements of the role.)

- 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++

- Experience in Model Validation

- Experience in Python is mandate

- Asset class : Cash Equities