Day in the life of a Quantitative Researcher at Citadel Securities
Interview with a Quantitative Researcher at Citadel Securities based in Miami
In this article we shall go through a day in the life with a Quantitative Researcher named Will who’s based in the FX team in the Miami office.
8:30am. Will arrives in the office and checks the overnight PnL of his strategies as well as any overnight processes. After this, he’ll work on any urgent issues such as bugs that have been raised.
9:30am. The morning is spent working with his colleagues in Europe to understand what has been going on overnight. Most FX is traded electronically and it’s a 24-hour market.
10:30am. Will has a meeting with his reportees who look after their own strategies. They discuss ideas for improvements which could allow the strategies to take more opportunities with less risk.
11am. Time for Will to work on his own strategies. A quantitative researcher uses data to generate trading signals. For the FX market, it’s about making markets (providing liquidity) and capitalising on any arbitrage opportunities.
These strategies are fully systematic and mostly don’t require human input (unless the need for a human to override). His team members apply their research quickly and get fast feedback in the markets.
12:30pm. Will takes a break for lunch and eats in the Citadel Securities canteen. He will occassionaly eat at his desk if he is particularly busy.
1:00pm. After lunch Will spends more time improving their strategies. Ideas are generated from post-trade analysis and looking at why trades were successful or unsuccessful.
3pm. More meetings with other quantitative researchers who trade different asset classes. These meetings are used to discuss ideas on how to manage risk and take more opportunities.
3:30pm. Will spends more time refining his strategies. He works closely with the traders, who help monitor the strategies’ performance. When a new strategy is developed, they will test it using our existing market data and will try to see whether it’s profitable based on historic patterns.
6pm. Will usually leaves the office around 6pm. He sometimes stays later if he’s really focused on finishing a project.
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