Statistical Arbitrage Researcher Job Description Template

The statistical arbitrage researcher develops short horizon relative value strategies, typically market neutral and high turnover. The work lives close to market microstructure, where transaction costs and capacity dominate the economics and an edge measured in basis points is only worth having if it survives execution. Very careful backtesting is the core competence.

Typical Duties and Responsibilities

• Research short horizon relative value and mean reversion signals
• Build pair, basket and cross sectional strategies with neutrality constraints
• Model transaction costs and impact at the horizons the strategy trades
• Analyze capacity, turnover and the decay of the edge
• Investigate correlation with known factors and with peer strategies
• Work with execution on realistic implementation of the signal
• Monitor live strategy performance and diagnose degradation quickly
• Test robustness across regimes, universes and time periods
• Document research so results can be reproduced
• Present strategies for review before capital is allocated

Education

• Master’s or PhD in a quantitative discipline

Required Skills and Experience

• 3+ years researching short horizon systematic strategies
• Strong time series and cross sectional statistics
• Deep understanding of transaction costs at high turnover
• Proficiency with Python and experience with tick or intraday data
• Rigorous approach to overfitting in a low signal environment
• Understanding of market neutrality and hedging construction
• Ability to work with very large data sets efficiently
• Honest assessment of capacity constraints

Preferred Qualifications

• Experience with intraday or high frequency strategies
• Familiarity with kdb+ or another tick database