Quantitative Researcher - Execution Modelling and TCA
Role Overview
We are on the lookout for a talented Quantitative Researcher specializing in execution modelling and transaction cost analysis (TCA). This is an exciting opportunity to work in a dynamic equities trading environment, directly influencing trading performance with a significant daily global equity notional of over $1B.
This role combines quantitative research, execution optimization, and portfolio construction. As a research-focused position, it emphasizes strong alpha-oriented thinking applied in execution and market microstructure, rather than trade execution itself.
Key Responsibilities
- Develop, maintain, and enhance sophisticated transaction cost models (TCA) and execution forecasting frameworks to support optimal portfolio decisions.
- Explore and model market impact, slippage, liquidity, and execution risk across diverse global equity markets.
- Collaborate closely with trading and portfolio teams to consistently monitor and improve execution quality.
- Utilize your market microstructure expertise to identify trading inefficiencies and drive execution alpha.
- Contribute to alpha research initiatives, focusing on execution signals and microstructure insights that provide a competitive edge.
- Work with large-scale trading datasets to create robust, data-driven models aimed at achieving reliable cost prediction and optimization.
- Continuously refine methodologies to enhance the scalability, accuracy, and performance of execution analytics.
Candidate Profile
- 1-6 years of experience as a Quantitative Researcher in a buy-side setting, with strong candidates from asset management or long-only firms also welcomed.
- Exceptional candidates with experience from sell-side trading desks will be considered.
- A solid academic foundation in a quantitative discipline such as Mathematics, Physics, Computer Science, or Engineering is required.
Required Skills & Experience
- Deep understanding of equity market microstructure covering order books, liquidity, execution strategies, and impact.
- Experience in developing or utilizing transaction cost models / execution analytics.
- Significant research experience related to alpha or signal development—not solely focused on execution or trading.
- Proficiency in Python or other quantitative programming languages.
- Experience handling large, high-frequency datasets.
- Strong statistical and modelling capabilities.
Nice to Have
- Familiarity with integrating execution models into portfolio optimization frameworks.
- Exposure to systematic trading or quantitative equity strategies.
Key Differentiator
This is a research-first role. The emphasis is on modelling, conducting alpha-adjacent research, and enhancing trading outcomes through insightful data and microstructure analysis, rather than direct trade execution.