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Citi's Markets Quantitative Analysis (MQA) group is seeking a highly skilled VP Quantitative Analyst to join its Equities team. This role is central to the research, design, implementation, and maintenance of cutting-edge Equities Execution Algorithms for Citi's clients and internal trading desks, with a specific focus on North America and LATAM markets.
Job Responsibility:
Research, design, and implement improvements for existing and new algorithmic trading strategies (e.g., VWAP, liquidity seeking)
Develop and enhance quantitative models, including optimal schedule, market impact models, and short-term predictive signals (e.g., fair value)
Implement algorithm enhancements and customizations with production-quality code
Perform in-depth analysis of large datasets comprising market data, orders, executions, and derived analytics
Apply statistical modeling and machine learning techniques for data analysis and signal generation
Conduct flow analysis and performance tuning for various client flows
Provide data and analysis to support initial model validation and ongoing performance analysis
Collaborate closely with traders, risk managers, product, sales, and technology teams
Provide quantitative support and expertise for new product development
Design and execute backtesting frameworks to assess model performance and robustness
Maintain comprehensive documentation of models, methodologies, and validation processes
Work in partnership with Risk & Control, Legal, Compliance & Audit teams
Appropriately assess risk when making business decisions
Adhere to Citi’s Code of Conduct, policies, and procedures
Requirements:
Advanced degree (Master's or Ph.D.) in a quantitative field such as Financial Engineering, Mathematics, Statistics, Physics, Computer Science, or a related discipline
Minimum 5 years of experience in quantitative analysis or model development within a trading environment at a financial institution, with at least 3 years focused on research and development of agency execution algorithms, smart order routing strategies, liquidity seeking strategies, market making strategies, or high-frequency trading strategies
Strong understanding of US Equity Algorithmic Trading and Market Microstructure
Strong analytical and quantitative skills with a solid understanding of stochastic calculus, probability theory, and statistical modeling techniques
Strong programming skills in Python or R (statistical programming languages)
Experience with numerical libraries and data manipulation
Will be required to either already possess or apply upon arrival for Series 7 and 63 licenses
Nice to have:
Knowledge of ETF trading is a plus
Experience with Predictive signal, Market Impact, and Optimal Trading schedule models is desirable
Programming, software design skills and Java experience desirable
Experience with Q/KDB or other time series databases is desirable
What we offer:
medical, dental & vision coverage
401(k)
life, accident, and disability insurance
wellness programs
paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays
discretionary and formulaic incentive and retention awards