Location: New York, NY, United States

DESCRIPTION:

Duties: Develop, implement and refine quantitative models and algorithms for large-scale portfolio optimization. Design and build scalable software solutions for portfolio analysis and optimization. Perform in-depth analysis to identify opportunities to improve performance of the optimizer. Collaborate with portfolio managers, quantitative researchers, product managers, and other stakeholders to understand investment strategies and translate them into technical requirements. Utilize data science methodologies to extract insights from financial data, identify trends, and inform portfolio construction decisions. Integrate and analyze large datasets from various sources to support model development and validation. Ensure the accuracy, efficiency, and robustness of software solutions through rigorous testing and validation. Address inquiries from daily trading activities and provide immediate solutions or algorithmic trading recommendations. Leverage machine learning and AI techniques to enhance portfolio optimization models and improve predictive accuracy. Lead junior machine learning research analysts in exploring state-of-the-art models and employing them to research projects. Document and communicate technical concepts and findings to both technical and non-technical audiences. Present research outcomes at meetings and conferences.

QUALIFICATIONS:

Minimum education and experience required: Master's degree in Financial Engineering, Mathematical Finance, Operations Research, or related field of study plus One (1) year of experience in the job offered or as Data Scientist, Research Analyst, Quantitative Analyst, Quantitative Equity Investments, Sales Operations and Strategy Consultant, or related occupation.

Skills Required: This position requires experience with the following: implementing quantitative and statistical techniques using Python modules including Pandas, NumPy, SciPy, Seaborn, Scikit-learn, Statsmodels, TensorFlow, PyTorch, and Matplotlib; building portfolio optimization process with Gurobi Optimizer programming; developer tools including Git version control; using Jira to track project progress; financial capital markets and the structure, market behavior, and BARRA risk model for financial instruments including stocks, ETFs, and Mutual Funds; assessing the impact of capital gains tax on investment decisions across all types of investors and applying optimization models to deliver tailored solutions for each scenario; relational database including PostgreSQL; machine learning concepts, including supervised and unsupervised learning, ensemble methods, and time series analysis; feature engineering, model selection, and hyperparameter tuning for machine learning models; application of supervised and unsupervised machine learning models in portfolio management and trading strategies; Ensuring accuracy, efficiency, and robustness of software solutions through testing and validation using python tools including pytest; applying optimization models for tax optimized portfolio construction and direct indexing. Experience in the skills may be gained through graduate-level internships.

Job Location: 390 Madison Ave, New York, NY 10017.

Full-Time. Salary:  $153,000 - $170,000 per year.