Senior Quantitative R Developer
Project will be focused on improvements in vehicle agnostic process.
1) Axioma Portfolio Optimizer (Portfolio Optimizer) - Commercial of the shelf (COTS) solution
2) Axioma Adapter - 'in-house' solution allowing reference data to be loaded into Portfolio Optimizer
3) Tableau reporting - tool for visualization of vehicle alignment results
Investment Vehicle Agnostic Alignment
By design fund investments are available to a certain number of regions, securities, industries and etc. The Investment Vehicle concept was invented to make investment services possible for a wider range of clients. The ultimate goal for this re-alignment process is to bring the investment vehicle's return divergence as close as possible to underlying funds.
The business process of the investment vehicle alignment by design includes:
1) Intraday alignment transactions into investment vehicle in order to keep it within defined tolerance thresholds
2) Continuous Vehicle Investment Decision Maker reviews of holdings and cash balances of the investment vehicle in relation to the fund
3) Continuous reviews by Quantitative Research & Analytics Group (QRA) in order to determine a basket of securities/alternatives for vehicle investments
The company successfully lunched a pilot that proofed the concept of investment vehicle agnostic alignment in 2015-2016 and looking at phased implementation for a number of funds. As a result, some of the approaches that were suitable for pilot phase will have to be adjusted.
The focus of this engagement is to allow scalability of the investment vehicle agnostic process as well as assistance to QRA/Vehicle Investment Decision Maker via a visualized reporting platform.
- Strong mathematical/algorithmic background
- 5 years of either R or Java development
- .NET/C# experience is highly desirable
- Demonstrated experience working on the design, implementation, and deployment of large, complex software projects
- Expertise in scripting languages (Shell, Python, Perl)
- Ability to take responsibility and work independently in a high-pressure, time-critical environment
- Experience with trade cost analysis and/or portfolio optimization is a plus
- Strong organization, communication, and interpersonal skills.
- Developing common tools and libraries to facilitate both research and production trading
- Developing investment strategies using statistical and machine learning approaches
- Applying quantitative techniques to novel or unconventional datasets
- Building and refining research infrastructure and tools
- Working closely with business team, business analysts, and architects and be able to quickly understand the new requirements and help to identify the changes to the system.
- Working closely on a day-to-day basis with development team, designers, copy writers and other IT teams.
- The role develops and presents recommendations from analysis of current solution.
- Assist in design peer reviews, code peer reviews, build and unit test functional enhancements. Identify areas for code refactoring.
- Review and contribute to development process and procedures to assist in the continual improvement of the development team activities.
- Communicate with business and technical groups to produce design documents suitable for multiple audience types, both client-facing and internal
- Must be able to exhibit technical thought leadership and excellent problem solving ability, with an aptitude for technical innovation
- Understanding of content and social media publishing platforms with knowledge of latest industry trends in desktop, mobile, and video platform development
- Estimation and task breakdown - estimating cost of implementing new changes and identifying risks