A New York based fixed income market maker is looking for a Quantitative Data Analyst with advanced data mining skills to analyze investment grade and high yield credit spreads and to perform quantitative analysis that will provide valuable insights for the firm’s market making strategies.
The firm has a major presence as a high-volume electronic market maker in the following products: high yield and investment grade corporate bonds, municipal bonds, preferred securities, emerging market bonds, and non-agency mortgage-backed securities.
Responsibilities May Include:
- Big Data Credit Research- Build and develop analysis software to compute all daily pairwise credit spreads between matched maturity bonds in the US high-yield and investment-grade corporate bond markets for the firm’s credit department
- Apply statistical analysis to mine structured and unstructured credit data to identify trading anomalies, relative value opportunities, and rich/cheap analysis.
- Build Intraday Corporate Bond pricing calculator
- Work closely with fundamental credit analysts and traders on identifying changes in bid/ask spreads, credit spreads, and yield curve changes.
- Work with TRACE data to find trading patterns and trading signals
- Develop an automated credit spread generator for high yield bond trading
- Apply time series modeling to find a new way to measure momentum for pricing corporate bonds
- Quantitative Degree Computer Science, Stats, Math, Finance from a top university
- Strong Statistical Background and Machine Learning experience
- Strong Data Mining/Data Manipulation skills
- Demonstrated ability to conduct independent research utilizing large data sets.
- Knowledge of Fixed Income products strongly preferred
- Proficiency in analysis (R) packages, programming languages (e.g. Java, Python,) as well as the ability to implement, maintain, and troubleshoot big data infrastructure
- Strong SQL and Oracle PL experience and skills
- 3-4 years of relevant experience
- Experience in time series analysis and sequential data
Keywords: Fixed Income Trading Data, Pricing Data, Data Science, Data Mining, Machine Learning, Business Intelligence, Text Mining, Python, Scripting, Data Analyst, Analytics, R, Python, SQL
Please refer to Job 22648- and send MS Word attached resume to Jim Geiger, firstname.lastname@example.org | For More Opportunities, please visit www.analyticrecruiting.com