Quantitative Analyst

As a Quant Analyst at Futures First, your role will involve supporting the development and execution of quantitative strategies across financial markets. You will be responsible for various key tasks including: - Statistical Arbitrage & Strategy Development: - Designing and implementing pairs, mean-reversion, and relative value strategies in fixed income, such as govies, corporate bonds, and IRS. - Applying cointegration tests (Engle-Granger, Johansen), Kalman filters, and machine learning techniques for signal generation. - Optimizing execution using transaction cost analysis (TCA). - Correlation & Volatility Analysis: - Modeling dynamic correlations between bonds, rates, and macro variables using PCA, copulas, and rolling regressions. - Forecasting yield curve volatility using GARCH, stochastic volatility models, and implied-vol surfaces for swaptions. - Identifying regime shifts (e.g., monetary policy impacts) and adjusting strategies accordingly. - Seasonality & Pattern Recognition: - Analyzing calendar effects (quarter-end rebalancing, liquidity patterns) in sovereign bond futures and repo markets. - Developing time-series models (SARIMA, Fourier transforms) to detect cyclical trends. - Back testing & Automation: - Building Python-based back testing frameworks (Backtrader, Qlib) to validate strategies. - Automating Excel-based reporting (VBA, xlwings) for P&L attribution and risk dashboards. You should hold a B.Tech degree, have 0-3 years of work experience, and possess the following skill set: - Strong grasp of probability theory, stochastic calculus, and time-series econometrics. - Expertise in linear algebra, numerical methods, and optimization techniques. - Knowledge of Bayesian statistics, Markov Chain Monte Carlo, and machine learning. - Proficiency in libraries such as NumPy, Pandas, statsmodels, scikit-learn, and arch. - Experience with back testing tools like Backtrader, Zipline, or custom event-driven frameworks. - Data handling skills in SQL, Dask for large datasets, and Bloomberg Excel functions. - VBA scripting for automation. - Familiarity with C++/Java, QuantLib, R, yield curve modeling, credit spreads, CDS pricing, and risk metrics. - Understanding of market infrastructure and ability to translate intuition into quant models. The company is located in Gurugram, and work hours will be aligned to APAC Markets.,