Quant Researcher - Data Scientists

Job description

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Area:
CORPORATE & INVESTMENT BANKING

Company:
001

What are we looking for?

If you have a strong mathematical and programming background, data science skills and a business oriented mindset, we would like to hear from you.

The ideal candidate will have:

·  Education and knowledges: 
·  A master degree in physics, mathematics, statistics, engineering or computer science.
·  3 - 5 years of experience in a data science role in a business environment. Previous experience in the financial markets is highly valuable
·  Outstanding mathematical literacy: you should be able to discuss business problems using mathematical terms on a piece of paper. Familiarity with stochastic optimal control is highly valuable.
·  Programming skills in languages like Python, Java and/or Scala
·  Practical knowledge of standard statistics and machine learning libraries, and big data frameworks like Hadoop and
·  Spark. Experience with kdb+/q is valuable. 
·  Languages :
·  Good English level.
·  Spanish is valuable but optional: we welcome international applications
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Soft skills:

·  The ability to work under pressure. The team is fully integrated into business units. You will have the opportunity to generate high impact with your work, but a strong commitment to delivery is a must have.

Overview

Overview

We have an exciting opportunity for a talented data scientist to join the Advanced Analytics & Algorithmic Trading team at BBVA Global Markets, to work in rates trading projects. Our ideal candidate should be passionate about financial markets and the idea of implementing trading algorithms and advanced analytics for the trading desks. Some examples of areas where the successful candidate might be working are:

·  Evolution of market-making and execution algorithms for flow rates products (government bonds, interest rates swaps, etc). These algorithms are built using state-of-the art mathematical and advanced analytics techniques.  
·  Implementation of machine learning algorithms to detect relevant trading patterns and generate signals and alerts.
·  Support business units in data analysis, interpretation & visualization of results.

About the job

How can you expect that a typical day unfolds if you join the team?

·  You will start the day checking the markets opening to make sure that our real-time trading algorithms and models have a smooth start.
·  Later, you will join the rest of the data scientists to discuss their different lines of work and share ideas. If you are working in a multi-team agile project, you will probably meet your scrum team. 
·  Sitting directly with the trading desks, or working from home (we operate in a flexible 60% office, 40% home scheme), you will have extensive time to progress your work at your desk and computer, and have frequent informal discussions with the business  as needed to ensure your work has a large impact in the organization
·  Some time might be also allocated for learning and training, either at campus BBVA or with the rest of the team in our journal and book club sessions, where we discuss in group the latest books and papers relevant to our activity.

To give you an idea, a few examples of papers and books you should feel excited to read and code are:

·  The Financial Mathematics of Market Liquidity, by Oliver Gueant
·  Machine Learning in Finance, by Dixon, Halperin and Bilokon
·  Big Data Science in Finance, by Marco Avellaneda and Irene Aldridge
·  Machine Learning and Big Data with kdb+/q, by Novotny, Bilokon, Galiotos and Deleze
·  The behavior of dealers and clients on the European corporate bond market: the case of Multi-Dealer-to-Client platforms, by Fermanian, Gueant and Pu
·  DeepLob: Deep Convolutional Neural Networks for Limit Order Books, by Zhang et al
·  Reinforcement Learning for Market Making in a Multi-agent Dealer Market, by Ganesh et al

Working at BBVA

BBVA is a global company with over 160 years of history present in 25 countries with over 81 million customers. We are more than 110,000 professionals working in multidisciplinary and diverse teams.

At BBVA, we are ahead of the transformation that is taking place in the banking sector, challenging the status quo, to make life easier to our customers.

Being part of BBVA means developing your career in one of the most innovative companies in finance.

Responsible banking

We're committed to responsible banking to help drive a more inclusive and sustainable society . The future of banking lies in financing the future.

We started out with the spirit of helping others make the best financial decisions. That spirit remains with us today and encourages us to keep moving forward, prioritizing innovation and digital transformation so that we can put the opportunities of this new era within everyone's reach.

Diversity

At BBVA we believe having a diverse team makes us a better bank.

For this reason, we actively support diversity, inclusion and equal opportunities regardless race, sex, age, religion, sexual orientation, gender identity or expression. We cultivate a collaborative and inclusive work environment that allows every employee to do their best work.

Our values

Our values define our identity ; they are what drives us to make our goals a reality and they guide all of our actions and the decisions we make.

Customer comes first

We think big

We are one team