Posted Jan 26, 2018 - Requisition No. 64749
The Fixed Income Real-Time Pricing team provides intraday pricing on a wide variety of asset classes. Our product gives clients unprecedented transparency into the OTC markets. We develop and support several real-time pricing engines customized for different use cases.We are working on new pricing models for the European, Chinese, and various other fixed income markets.
The quality of the algorithms we develop must be highly defensible and transparent to those who use the data for trading. We apply various quantitative methods for data cleaning and price generation, and build the tools needed to validate and monitor online quality. Backtesting is a key part of our algorithm development.
Some of the biggest technical challenges we face are those of scale; we must produce pricing in real time, while taking in millions of data points per minute. We achieve low latency and high throughput via distributed computing that scales horizontally.
As a Data Scientist you will help lead our research efforts as well as develop production-quality systems to further expand our product. You will work closely with our highly-quantitative product side to design the models for these systems.