Quantitative Research - Pragma Financial Systems (New York, NY)

Pragma Financial Systems is seeking new members of our quant team.

Pragma is an industry leader in the area of high-frequency trading and execution optimization. Our product distinguishes itself from competing offerings in its sophistication and rigorous mathematical underpinnings, so strong research is at the very core of our activities. Our uncompromising approach has resulted in a product that is acknowledged by our many institutional clients to be the best in class. Building on this foundation, we are expanding aggressively both in our main software offerings and in new areas of quantitative trading. Quants will be performing fundamental research in topics relevant to high frequency trading, including execution optimization, risk management and trading strategies. They will participate actively in the development and implementation of results from their research.

A successful candidate will:

• Be very smart, curious and have an interest in quantitative finance.
• Have solid mathematical training. We prefer at least a masters degree in physics, mathematics, computer science, engineering or the physical sciences.
• Be an excellent programmer, with professional level knowledge of Java, C++ or C#, and even more important, enjoy programming. Our critical advantage is the ability to deploy trading algorithms better and faster than anyone else, so we don't have a strong divide between research and development.
  

• Expertise with data analysis software like Matlab, R or S+
• Strong statistics/econometrics background.
• Experience with high-frequency data, especially financial data.
  

• Engle & Dufour, Time and Price Impact of a Trade: http://weber.ucsd.edu/~mbacci/engle/291.pdf
• Almgren, Thum et al, Direct Estimation of Equity Market Impact, http://www.courant.nyu.edu/~almgren/papers/costestim.pdf
• Chriss & Almgren, Optimal Execution of Portfolio Transactions: http://www.courant.nyu.edu/~almgren/papers/optliq.pdf
• Laloux, Cizeau, et al, Random Matrix Theory and Financial Correlations, http://www.science-finance.fr/papers/dublin.pdf
• Lillo, Farmer & Mantegna, Master Curve for Price-Impact Function, http://www.santafe.edu/~jdf/papers/mastercurve.pdf
  

For more information about the position or institution/company: http://www.pragmafs.com

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