Quantitative Researcher - Macro

About CubistCubist Systematic Strategies, an affiliate of Point72, deploys systematic, computer-driven trading strategies across multiple liquid asset classes, including equities, futures and foreign exchange. The core of our effort is rigorous research into a wide range of market anomalies, fueled by our unparalleled access to a wide range of publicly available data sources.RoleQuantitative researcher to help build out a systematic macro (futures, FX, and vol) strategies. Core focus will be working on mid-frequency alpha strategies.Job DescriptionDevelop systematic trading models across FX, commodities, fixed income, and equity marketsAlpha idea generation, backtesting, and implementationAssist in building, maintenance, and continual improvement of production and trading environmentsEvaluate new datasets for alpha potentialImprove existing strategies and portfolio optimizationExecution monitoringBe a core contributor to growing the investment process and research infrastructure of the teamDesirable CandidatesMasters or PhD in mathematics, statistics, physics or other quantitative discipline. PhD in statistics or machine learning is a plusExperience in quantitative trading, ideally in FX or futuresExperience with alpha research, portfolio construction and optimizationExperience building statistical/technical, fundamental, and data driven signalsExperience synthesizing predictive signals for both cross-sectional and time-series modelsStrong experience with data exploration, dimension reduction, and feature engineeringThorough understanding of and comfort using a variety of regression techniques—including OLS, MLS, Ridge, Lasso, and Bayesian inference—as well as techniques for dealing with errors that can occur, such as auto-correlation and heteroskedasticityExperience managing and running risk is a strong plusProficiency in Python using the machine learning stack—numpy, pandas, scikit-learn, etc.Creative mindsetStrong time management ability—the ability to manage multiple tasks and deadlines in a fast-paced environmentHigh degree of drive and energy—must be a self-starterAbility to work cooperatively with all levels of staff and to thrive in a team-oriented environmentCommitment to the highest ethical standards and who act with professionalism and integrity at all timesThe annual base salary range for this role is $150,000-$200,000 (USD) , which does not include discretionary bonus compensation or our comprehensive benefits package. Actual compensation offered to the successful candidate may vary from posted hiring range based upon geographic location, work experience, education, and/or skill level, among other things.