Market Analytics and Regulatory Structure | Quantitative Researcher

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Job Description

Got Data?  We do!
Citadel Securities MARS team is seeking uniquely qualified individuals with a keen interest in market structure and a passion for data analytics to join us on our quest for ever-better markets.
MARS, an acronym for Market Analytics and Regulatory Structure, comprises a team of quantitative PhD-level researchers situated within Citadel’s Legal and Compliance organization.  MARS’ mission is to couple data and analytics with market expertise to inform and support a wide variety of internal and external regulatory and advocacy topics including:
  • Best Execution of Client Orders;
  • On-Venue and Off-Exchange Trading;
  • Regulatory Reporting and Rule Compliance;
  • The Analysis of, and Commenting on, New Rules and Exchange Proposals;
  • Work across the Industry in Leading the Advocacy of Data-Informed Market Improvements.
MARS covers all asset classes, domestic and international, including equities, options, futures and fixed-income, with access to a plethora of internal and external data sets representing trades, quotes, and order flow.  MARS works across many groups within Citadel Securities, from those developing trading models to those developing surveillance models, and represents Citadel Securities at conferences as well as directly with many external parties including clients, industry groups, academics, and regulators.
MARS team responsibilities include:
  • Analyze and solve complex market problems through the use of technology, mathematical and statistical modeling, and computer systems. 
  • Independently design and develop research frameworks related to regulatory data analytics, develop and enhance mathematical models and research tools, and translate abstract constructs into practical code.
  • Perform and analyze market micro-structure, trading, and quoting to assess market quality as well as to evaluate compliance and consistency of trading and quoting activities with regulatory requirements. 
  • Develop and provide independent analyses suitable for regulatory use. 
  • Translate SEC, FINRA, and international regulatory requirements into actionable analyses and testable hypothesis. 
  • Acquire, assemble, clean, and process massive and disparate data sets into cohesive data structures for subsequent analyses. 
  • Develop senior-level presentations describing analyses and results. 
  • Create unique visualizations and interactive tools to help aid in the presentation of analyses. 
  • Quickly learn and develop expertise in new computer languages, new trading and quoting processes, and new databases. 

Required Skills

General Requirements:
  • A PhD (or foreign equivalent) in Statistics, Economics, Finance, Computer Science, Engineering, Mathematics, Physics or a related quantitative field.
  • In lieu of a PhD in stated field, will accept a Master’s degree (or foreign equivalent) in stated field plus 3 years of quantitative research experience.
Specific skills must include the following:
  • Extensive work with time-series and cross-sectional analysis;
  • Proven ability to solve complex data intensive problems utilizing advanced mathematical and statistical modeling techniques;
  • Demonstrable ability to work both as part of a team as well as to lead self-directed projects to successful conclusion;
  • C++ or OOD programming;
  • Fluency in UNIX and UNIX tools;
  • High-level interpreted languages, such as Python or R;
  • Processing and analyzing gigabyte or terabyte sized large data-sets.
MARS is seeking individuals across various levels of real-world market experience. Current and previous work at a financial firm or regulatory agency in market structure and regulatory analyses, and/or direct experience with trading and routing algorithms, is desired but not required.
Locations: Chicago (junior or experienced) and New York (experienced only)

About Citadel

Citadel is a global investment firm built around world-class talent, sound risk management, and innovative leading-edge technology. For a quarter of a century, Citadel’s hedge funds have delivered meaningful and measurable results to top-tier investors around the world, including sovereign wealth funds, public institutions, corporate pensions, endowments and foundations.

With an unparalleled ability to identify and execute on great ideas, Citadel’s team of more than 675 investment professionals, operating from offices including Chicago, New York,  San Francisco, London, Hong Kong and Shanghai, deploy capital across all major asset classes, in all major financial markets.