Head of Quantitative Research
- Compensation
- Not disclosed
- Location
- London, England, United Kingdom
- Work setup
- Not specified
- Seniority
- C level
- Employment
- Not specified
- Experience
- 7+ years
- Category
- Not specified
- Posted
Skills
Must have
- At least ten years of experience in front-office quantitative research or trading at a leading systematic trading firm, such as a high-frequency trading or market-making firm, a multi-manager platform
- A proven record of leading and developing quantitative researchers, or of managing a research-driven portfolio with direct responsibility for profit and loss. - Deep expertise in at least one of stati
- Demonstrable experience of risk management for systematic strategies, including setting limits, sizing positions and managing drawdowns.
- A rigorous empirical approach to research, and experience building processes that prevent overfitting and backtest bias. Advanced programming ability in Python. Proficiency in C++ or another systems l
- An advanced degree in mathematics, physics, statistics, computer science or a related quantitative discipline.
Nice to have
- Experience of crypto derivatives, including perpetual funding, margining and liquidation mechanics.
- Experience of execution research, transaction-cost analysis or central risk book modelling.
- Experience of trading in continuous or extended-hours markets.
Full description
Fasanara Capital is a boutique alternative asset manager, offering access to a range of inventive multi-asset capacity-constrained niche products. Over the past 10 years we are pursuing unorthodox portfolio construction and unconventional investment strategy is a response to today’s transformational markets.
Fasanara Digital was established 7 years ago and is the crypto arm of Fasanara Capital, a 14 year-old boutique alternative asset manager. We are a Quantitative Investment fund applying a scientific approach to investing in crypto assets. Our goal is to achieve exceptional risk-adjusted returns. We pursue a range of diversified and highly sophisticated investment strategies that seek to profit from inefficiencies in the market structure and range from market making to cross-exchanges arbitrage.
The Role
Fasanara Digital is appointing its first Head of Quantitative Research. The role holder will have three core responsibilities: to lead the desk's research, to manage the risk of the strategies that research produces, and to lead and develop the team of quantitative researchers. The Head of Quantitative Research will report to the partners running Fasanara Digital and will work closely with trading, portfolio managers, and technology.
Key responsibilitiesResearch Leadership
- Set and prioritise the research agenda across the desk, including market-making, carry, cross-venue and cross-asset relative value, and new strategies.
- Lead the research, development and deployment of new strategies, from initial hypothesis to live trading.
- Establish and enforce research standards, including independent review of all strategies before capital is allocated. Reviews will address look-ahead and survivorship bias, transaction-cost and fee assumptions, and the reconciliation of backtested and live performance.
- Require that every strategy entering production is supported by a documented investment case, a cost model and defined performance and risk criteria for its continuation.
- Work with the portfolio managers on signal research, portfolio construction and capital allocation.
- Direct research supporting the desk's execution and internal risk-transfer capabilities, including transaction-cost analysis, market-impact modelling and the hedging of residual risk.
- Oversee, with the technology team, the development of the desk's research infrastructure: market and order-book data, backtesting and simulation frameworks, and shared research libraries.
Risk management
- Own the risk framework for research-driven strategies, including position sizing, exposure and drawdown limits, and the criteria under which a strategy is scaled back or withdrawn.
- Monitor the live performance of all strategies against their research expectations, and investigate and act on any material deviation.