Execution/TCA quant researcher (Fixed income) – VP Level – Singapore

Execution/TCA quant researcher (Fixed income) – VP Level – Singapore

Job title: Execution/TCA quant researcher (Fixed income) – VP Level – Singapore

Company: Octavius Finance

Job description: Job Details

A leading asset management firm with a specialism in Systematic trading is looking to add an experienced TCA quant researcher to the execution research group in Singapore to focus on the fixed income side.

You will report Directly to the head of Quantitative Execution Trading and also work alongside the Quantitative systematic investment strategies team in order to lead the PMs to high-performing portfolios.

The ideal candidate will have a highly quantitative background, with experience in Market Micro-structure research, and experience developing algorithms for extracting alpha signals from large datasets.

Algorithmic trading, optimal execution, optimization, market micro-structure, machine learning algorithms

You will be responsible for:

– Analytics for execution performance and transaction costs for Fixed income markets

– Working with the portfolio managers and traders to seek a more intelligent way to work orders in the market and reduce their transaction costs

– Market Microstructure: Pre trade models – price dynamics, market impact, transaction cost and timing risk for scheduled and opportunistic algorithms applying optimization and Markov proces

– Algorithm recommendation system for execution algorithm

– Scoring order execution performance against benchmarks accounting for risk exposure and opportunity costs

Applicants should be familiar with:

– Transaction cost models (TCA), trading implicit costs analytics, trading data engine development

– Portfolio management process using quantitative techniques.

– Specialised strategies designed to minimize market impact (slippage) by using algorithmic execution

– Machine learning based methodology to identify and forecast similarities between orders based on order characteristics and prevailing market conditions

– Ranking algorithms based on historical performance of executed orders

– Stochastic Volatility: Estimation and forecasting of daily and intraday volatility
The ideal candidate will have familiarity using Python and R on a Linux platform, including large SQL databases.

Please note:- All applicants must have experience in Fixed income Transaction cost modelling. The level of the hire is flexible.

Applicants from both the Vendor community and other buy side firms are welcome to apply.

The role is based in Singapore however there are options to work in other global locations so please do enquire.

In order to apply please send your CV in WORD FORMAT to or call

Interviews have already begun to take place.

Expected salary:

Location: Singapore

Job date: Sun, 26 Sep 2021 03:40:16 GMT

Apply for the job now!

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