Citi Group Quantitative Analyst 

United States, New York, New York 

855246398

Duties: Design, implement, and maintain market making algorithms and automated-responding systems of client request-for-quote inquiries for traded fixed income products. Develop and enhance mathematical models to automatically price and trade spread products including Corporate Bonds, Credit ETF, and Credit Derivatives. Perform quantitative research on trading strategies and utilize Bayesian Analysis, stochastic filtering, time series analysis, and advanced statistical machine learning techniques to create and improve trading models and algorithms. Analyze potential production usage of data sources including noisy financial time series data and unstructured data. Utilize Python, kdb+/Q, R, and SQL to program, test, implement, and release updated algorithms for live trading. Manage relationships with Fixed Income Traders and Information Technology teams to determine requirements and build trading models. Document trading models and research findings, including model validation process. Remote work may be permitted within a commutable distance from the worksite in accordance with Citi policy.

Requirements: Requires a Master’s degree, or foreign equivalent, in Computational Finance, Mathematics, Computational Engineering, or a related field, and one (1) year of experience in the job offered or a related position in the financial services industry. One (1) year of experience must include: Analyzing financial datasets utilizing Bayesian analysis and machine learning algorithms to improve mathematical models and trading strategies. Performing stochastic filtering, time series analysis on noisy data of various frequencies, and deriving statistically significant signals. Performing large scale data manipulation and statistical analysis utilizing kdb+/Q and Python for trading strategy back-testing and market making algorithms calibration. Programming financial algorithms using Python and kdb+/Q. Building automated pricing tools for trading in spread products. Utilizing knowledge of fixed income products including corporate bonds, credit ETF and credit derivatives to build mathematical models of these products. In the alternative, employer will accept a Bachelor’s degree, or foreign equivalent, in Computational Finance, Mathematics, Computational Engineering, or a related field, and three (3) years of experience in the job offered or in a related position in the financial services industry. 40 hrs./wk. Applicants submit resumes at . Please reference Job ID# 24724399. EO Employer.

Wage Range: $200,000 to $250,000

Anticipated Posting Close Date:

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