Securities - Equities Cash Algo Strats, Senior Electronic Execution Researcher

The Equities Cash Algo Strats team in GSET is responsible for developing highly specialized trading and routing strategies across markets in the US, Canada and South America. Its mandate includes design, implementation, and performance testing of execution strategies running on low-latency automated trading platforms. The team has a strong focus on providing a best-in-class algorithmic trading offering to the firm’s electronic trading clients. With an objective of improving execution quality in a dynamic marketplace, there is a rapid pace of software development and deployment.

The Execution Research side of the team consists of a set of individuals who are primarily focused on the quantitative performance of the electronic product suite. They apply data science principles to study market micro-structure and model market impact, information leakage, adverse selection and price attractiveness. They leverage these insights to develop optimal order scheduling, placement and routing strategies that are further enhanced through the use of short term liquidity and alpha signals. The group has access to a rich, high precision, historical data set of equity market activity and order data to approach these problems in a systematic, data-driven fashion with academic-like rigor. It requires the team members to be knowledgeable about statistical models, machine learning, regression techniques, signal processing and optimization, as well as have strong coding skills in scientific programming languages. Close collaboration with the Software Engineering side of the team ensures a rapid development cycle to iteratively experiment, measure and improve execution quality.

Basic QualificationsCandidates for the role of Senior Electronic Execution Researcher must satisfy the following criteria:

  • 5 years of relevant market micro-structure research experience in an electronic trading firm (buy or sell side, agency or principal)
  • Graduate level degree from top research university in quantitative discipline, with strong statistics and machine learning skills
  • Solid understanding of equities execution algorithms, routing and/or market making
  • Experience designing and critically analyzing structured experiments
  • Active knowledge of R, Python, Scala, Java or C++
  • Collaborative mindset with strong verbal and written communication skills

Goldman Sachs is an equal employment/affirmative action employer Female/Minority/Disability/Vet. © The Goldman Sachs Group, Inc., 2015. All rights reserved.

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