BBVA

Quant Researcher - Data Scientists

Job description

At BBVA we are leading the transformation of banking worldwide, united in pursuing our goal of bringing the age of opportunity to everyone. Firmly focused on the future, our on-going digital transformation is already producing disruptive innovations that power our vision of banking. We are a bank with more than 130,000 employees worldwide (54% women) and 72 million customers. Our values define our identity and are the lever that helps us to realize our purpose: The customer comes first, we think big and we are one team.


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


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


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.


At BBVA, we believe that having a diverse workforce makes us a better bank. We are proud to be a company that prioritizes diversity, inclusion and equal opportunities, regardless of the race, age, gender, ethnicity, disability, religion or sexual orientation of our employees and collaborators.

Please let the company know that you found this position on this Job Board as a way to support us, so we can keep posting cool jobs.