Quantitative Analyst / Researcher Jobs

Quantitative Analyst / Researcher

Who we are:

The Quarry is a new multi-manager / multi-strategy investment platform that launched September 2022.

We allocate capital to liquid, alpha-oriented, relative value/market neutral strategies across equities, fixed income, commodities, and digital assets. We partner with portfolio managers who invest in niche and inefficient markets, through both internal PMs and external managed account allocations.

Our leadership brings significant experience allocating institutional capital to portfolio managers across both traditional and digital asset strategies as well as scaling multi-manager investment platforms. This experience informs our vision, our strategy, and our conviction.

Summary of the role:

We are looking for a Quantitative Analyst / Researcher that will fill a critical role in The Quarry’s cross-asset volatility portfolio team. The ideal candidate will be a talented and motivated professional with exceptional work ethic and integrity.

The cross-asset volatility portfolio is an internally managed book focused on FX and equities (indices, sectors, VIX), encompassing both vanilla and first- and second-generation exotics. The candidate will be a critical component of this team and the broader fund, supporting important risk management and pricing capabilities, aiding in the creation of new systematic strategies, and assisting with daily executions and book management.

The position will be located at our headquarters in midtown NYC.

You will be responsible for:

• Deploying and enhancing our proprietary risk management system. This includes getting familiarized with the existing code base (consisting of ~500k lines of code in Python), integrating with our position management system (Enfusion), deploying the system for live trading using AWS resources, and adding enhanced functionality as needed for backtesting capabilities and scenario analysis.

• Maintaining and enhancing our options pricing infrastructure. This includes ensuring accurate pricing and first- and second-order greeks computation for vanilla and exotic derivatives in FX and equities.

• Researching and developing new systematic strategies. This will be an opportunity to collaborate with portfolio managers, harvesting alpha based on sound market insights, quantitative analysis, and fundamental research. It will also involve performing thorough backtesting and calculating risk metrics for proposed strategies.

• Assisting portfolio managers with trade execution and overall book risk management. Live trade executions (either automated, electronic, or voice) will be critical for strategy implementation. In addition, the candidate will help with monitoring overall risk in the book (barriers that are approaching, risk limits that are nearing thresholds, managing expirations, etc.)

What we want from you:

• Superior programming skills in Python as well as an understanding of various machine learning techniques.

• Well-versed in options pricing theory, first- and second-generation exotics, calibration of volatility surfaces, stochastic local volatility models, and Monte Carlo methods.

• 3+ years professional experience in a quantitative role at a private investment firm or investment bank.

• A BA/BS degree with a strong academic record. A master’s degree is a plus.

• Self-starter mindset, with an ability to solve problems with appropriate oversight and direction.

• Diligent, detailed-oriented, organized, and able to manage multiple work streams simultaneously.

• Enthusiasm to learn and operate in a collaborative team environment.

• Excellent interpersonal and communication skills.

What you will get from us:

• The opportunity to work in a hedge fund involving a robust asset-class universe, alongside a founding team of seasoned hedge fund professionals.

• The opportunity for growth, development and continuous learning as the fund grows.

• The intellectual / professional freedom to work on self-motivated projects that contribute to the firm’s success.

• Competitive salary (estimated to be in the range of $150k - $200k), bonus, and competitive benefits package.

Contact The Quarry: [email protected]