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Manager Data Scientist - Advanced Analytics & Algorithmic Trading

BBVA
Madrid, Spain
Posted 28 days ago Permanent -
I
Posted by
Ines Fueyo
Recruiter
In Advanced Analytics & Algorithmic Trading at C&IB Global Markets, we have the mission to support the transformation of our business into a more scientific, data-driven business one. We have a rare opening for someone to help us develop this mission by taking a leading role as a Manager Data Scientist in charge of our portfolio of Equities projects. We are looking for someone with strong mathematical, programming and data science skills, a business oriented mindset, and an entrepreneurial spirit.

 

The successful candidate will have the opportunity to work in exciting areas like:

  • The implementation and backtesting of trading strategies four our nascent Quantitative Investment Strategies business.
  • The analysis of client behavior and segmentation to automate marketing campaigns and calculate optimal prices for digital products.
  • The development of data-driven hedging methodologies for single instruments and portfolios.
  • The incorporation of liquidity and market impact into the pricing of derivatives using advanced mathematical models.
  • The generation of trading factors and signals using machine learning algorithms.
  • To give you an idea or our portfolio of projects, a few examples of papers and books you could come across working in projects in our team are:
  • Expected returns: An Investor’s guide to Harvesting Market Rewards, by Antti Ilmanen.
  • Advances in Financial Machine Learning, by Marcos López de Prado, by Dieter Hendricks and Stephen J. Roberts .
  • Introduction to Algorithmic Marketing, by Ilya Katsov.
  • Volume Weighted Average Price Optimal Execution by Busseti and Boyd.
  • Optimal Execution and Block Trade Pricing: a general framework, by Olivier Gueant.

How can you expect that a typical day unfolds if you join the team?:

  • You will start the day checking with the business that our models and quantitative strategies have a smooth start.
  • Later, you will join the rest of the data scientists to discuss their different lines of work and share ideas. If you are working in a multi-team agile project, you will probably meet your scrum team. 
  • As a team leader sitting on the open trading floor, or working from home (we operate in a flexible 60% office, 40% home scheme), you will have extensive time to progress in your work and lead the data scientists working in Equities projects. You will also have frequent informal discussions with traders and sales as needed to ensure your work has a large impact in the business. 
  • During breaks at the office, you will have the opportunity to enjoy the vibrant atmosphere of Ciudad BBVA, with its many services and open spaces. 
  • Some time might be also allocated for learning and training, either at campus BBVA or with the rest of the team in our journal and book club sessions, where we discuss in group the latest books and papers relevant to our activity.

The ideal candidate will have the following qualifications:

  • A master degree in physics, mathematics, statistics, engineering or computer science. A PhD will be valuable.
  • 5+ years of experience in a quantitative or data science role in the financial industry or a similar business environment.
  • Previous experience leading a team or managing projects will be beneficial, but we encourage applications from any ambitious candidate with a clear strategic vision to help us fulfill our mission.
  • Knowledge of financial markets and instruments. Experience working in Equities will be beneficial.
  • Outstanding mathematical literacy: you should be able to discuss business problems using mathematical terms on a piece of paper.
  • Programming skills in languages like Python, Java and/or Scala.
  • Practical knowledge of standard statistics and machine learning libraries, and big data frameworks like Hadoop and Spark.
  • Entrepreneurial mindset.
  • Good English level. Spanish is valuable but optional: we welcome international applications.
  • The ability to work under pressure. We work in a business environment and this requires from time to time to commit to tight deadlines.
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