Quantitative researcher in electronic FX team, VTB Capital

Quantitative researcher in electronic FX team, VTB Capital

Electronic trading is a business associated with huge amounts of data such as market data and trade data from a variety of sources. In the presence of thousands of clients and tens of liquidity providers the natural goal of our team is to generate profits via optimal pricing and hedging strategies. We believe that there is no better way to made optimal decisions rather than use the historical data analysis. To implement this analysis, we are looking for a quantitative researcher who will contribute to the system from the point of view of business logic and optimal decision making. Since the goal of the team is to compete with the best liquidity providers in the market our quantitative algorithms should use the best practices from the industry or use in-house innovations. The workflow of the quantitative research has two main streams: the invention of new components of the system and estimation of the optimal parameters of existing components. Thus, we expect that QR is familiar with machine learning, econometrics techniques as well as stochastic control problems. Ideas proposed by QR and parameters estimated will be directly incorporated into production system and impact financial results of the department and the company as a whole.

• Work on wide scope of data science tasks:
• Estimation of price sensitivity of clients;
• Estimation of market impact;
• Estimation of information leakage;
• Price prediction;
• Volatility estimation
• Client flow analysis;
• Generate new ideas on the optimization of the trading logic;
• Building automated analytical reports in Apache Superset;
• Apply results of analysis in production

Technological stack:
• Java, Python
• PostgreSQL
• Apache Cassandra
• Apache Superset
• Apache Spark
• Docker
• Testcontainers


• Knowledge of econometrics;
• Knowledge of machine learning;
• Ability to write and test code
• Java knowledge is a plus
• English language
• Experience of working with databases


Benefit package:
• Official employment
• Competitive salary
• Professional training and development
• Voluntary medical insurance for employee and their family members, life and health insurance, banking products on attractive terms
• Sport and corporate events
• Ability to build your career in the leading Russian investment bank

VTB Capital

VTB Group’s Corporate Investment Business is a leader in the international investment banking sector in Russia. VTB Capital has achieved significant results since it was founded in 2008 and has carved out a reputation of a reliable business partner for clients from around the world. VTB Capital operates in Moscow, London, Hong Kong, Singapore and Sofia as well as on the basis of the VTB Group’s international offices in Shanghai, Frankfurt, Vienna and Zug. It is headquartered in Moscow.

Job type    Full-time

Published: 30/04/2021