Department
Robeco is looking for a Trading Researcher to strengthen its equity trading desk. Lower cost through data-driven trading decisions. Research, develop and maintain models that assist our traders in achieving the best possible execution for Robeco’s strategies.
Robeco is an institutional asset manager with more than one hundred billion of assets under management for several equity investment strategies. Each investment strategy creates orders that are executed by Robeco’s equity trading desk using execution algorithms serviced by brokers. These algorithms split the order into smaller pieces so that the entire order is executed slowly over, e.g., the course of the day.
The main driver of execution costs is market impact, which is the adverse effect that trading has on the price, i.e., moving the price up when buying and down when selling. Your primary objective is to make our execution decisions data driven, and, thereby, lower market impact cost.
The position
In this role, you will develop market impact models, develop forecasting models for market volume and volatility, assess performance of different execution strategies, and optimize execution strategies. Major challenges include the low signal-to-noise ratio typically encountered in market data, dealing with large data sets, and developing advanced quantitative models.
What you will do
- Interact with our equity traders, brokers, and portfolio managers. This allows you to stay up to date with market developments, changes in market microstructure, and the needs of our investment strategies.
- Apply advanced statistics and data-analytics to analyze our executions post trade.
- Use quantitative methods, including machine learning and optimization, to provide execution recommendations pre-trade.
- Apply stochastic methods and reinforcement learning methods to advise the best course of action during the execution.
- Analyze large datasets with intraday data, and build infrastructure to bring data-driven decision making to our traders.
- Have the latest AI models at your disposal to write clean, reproducible Python code that can be maintained and extended by the broader team, with consistent attention to version control, testing, and documentation.
- Build tools, dashboards, and reports that communicate insights to portfolio managers, traders, investment specialists, and other stakeholders, including colleagues without a quantitative background.
Examples of questions you may work on
- How much market impact do we expect to make for this order?
- Which of our brokers has the best performing VWAP algorithm?
- How can we prevent adverse selection on block-trading venues?
- What is the best execution schedule for this trade?
- What is the best course of action a trader should take at a certain point during the execution?
- How can we leverage AI at the trading desk?
What you bring
- A master’s degree or PhD in a quantitative field such as econometrics, mathematics, data science, computer science, engineering, physics, environmental science or a related discipline.
- Roughly 3-8 years of relevant professional experience. Additionally, strong graduates are also encouraged to apply.
- Strong quantitative skillset. Knowledge of the following domains is a pre: statistics, stochastics, stochastic control, machine learning, reinforcement learning, Bayesian statistics, or optimization.
- Strong programming skills in Python, familiarity with the Python data stack such as pandas and NumPy and understanding of typical data-science workflows: VS code, git version, AI-assisted coding etc. Experience with SQL, PySpark or compiled languages is a pre.
- Affinity with trading and financial markets in general. Knowledge of market microstructure knowledge is helpful, but can also be learned on the job.
- Affinity for IT and technology: deploying infrastructure in Microsoft Azure, and making things work in Robeco’s IT infrastructure is part of the job.
- General research skills: curiosity, sound judgement, a practical mindset, ability to explain complex topics clearly and work effectively with both technical and non-technical colleagues etc.
- Professional proficiency in written and spoken English.
Research shows that female candidates only apply if they meet 100% of the requirements, while male candidates already do so at 60%. Are you hesitant about whether you meet all requirements? Please do apply, we’re looking forward to hearing from you.
How we think about AI in this role
AI literacy is part of effective data-science work, but it is not a substitute for subject knowledge or quantitative judgement. We are looking for someone who can select appropriate tools, formulate good questions, inspect generated code or text critically and verify results against reliable sources and tests. Experience with AI coding assistants, large language models or automated document analysis is welcome, but deep AI specialization is not required.
Challenge
In your cover letter, please describe how you would take on the challenge explained below:
Our traders suspect that we get adversely selected, when trading on a certain block trading venue, i.e., a venue where your order is invisible until someone else wants to do a large trade with you. We have a rough idea of how execution on this venue works, and have a limited data set with our executions, but probably not enough to reach statistical significance. How would you address this challenge and assist our traders in the best way forward?
How to apply
Interested in this position? Please send us your cv, a grade list, and cover letter with your motivation plus response to the challenge.
Be aware that incomplete applications will not be considered.
Position & Requirements
All applications will be treated with the utmost confidentiality. An assessment and integrity test may be used in the selection procedure.
Robeco Recruiting Team