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Securities - Equities - Machine Learning Research Engineer, Associate/VP, Hong Kong
Goldman Sachs International
September 15, 2018
MORE ABOUT THIS JOB Securities
Our core value is building strong relationships with our institutional clients, which include corporations, financial service providers, and fund managers. We help them buy and sell financial products on exchanges around the world, raise funding, and manage risk. This is a dynamic, entrepreneurial team with a passion for the markets, with individuals who thrive in fast-paced, changing environments and are energized by a bustling trading floor. Job Details Machine Learning Research Engineers are responsible for developing novel models and applying them to large-scale problems. They work together closely with Data Engineers and Software Engineers. Goldman Sachs has a culture where everyone gets a lot of responsibility from day one. Researchers enjoy a relatively large degree of freedom, and can work on self-initiated projects as well as on project ideas that originate from the revenue side. We encourage researchers to develop relationships with researchers at partner universities and to contribute to the field through publications. At Goldman Sachs, we have a wide array of problems that relatively few machine learning researchers are looking at. Researchers get to work on problems and challenges unique to the financial industry. Externally, we are students of the markets, and internally we develop products for our clients and internal teams. At any time, our team has a portfolio of many projects to work on. General topics of interest to us are time series modelling, probabilistic machine learning, forecasting, deep learning, and natural language processing. This means that researchers can work on a wide variety of projects, across different business units. Researchers at Goldman Sachs are encouraged to be thought leaders and shape our vision for data science. Equity Execution Services, Consulting & Quant Research Researchers will be based in the Execution Services business units, which work on problems on the entire execution stack, from trading algorithms to sales. The team is part of Securities strats, and is primarily responsible for execution research, alpha-signal generation, market microstructure studies, transaction cost modelling (TCM) and other quantitative investigations of interest to both the agency and principal execution desks.
RESPONSIBILITIES AND QUALIFICATIONS Responsibilities & Qualifications We are looking for a highly motivated professional to join our Execution Services Research team. The team works closely with the trading platform engineers and business owners, to provide signals and models to improve Goldman Sachs execution capabilities. Key responsibilities include but are not limited to:
Working with large, noisy, high-dimensional real-world datasets using statistical techniques
Developing novel models and validating them
Exploratory investigations of performance improvements
Supervision of projects from machine learning engineers and desk strats
PhD in Computer Science (or Mathematics/Physics/Statistics), or strong background and equivalent practical experience in the field
Sound judgement, independent, responsible and with solid work ethic
Strong quantitative and problem solving skills with focus on the ability to formulate hypotheses, test them and distil them into practical models for use in trading algorithms, pre/post trade analysis, market-microstructure research, visualization etc.
Strong base in probability and statistics, algorithms, linear algebra
Programming skills using modern languages, e.g. Python/R/C/C++/Java
Experience with data science platforms, e.g. Tensorflow, PyTorch, Scikit-learn for Python
Ability to effectively communicate and present results highlighting the broader commercial and strategic impact
Required to work with significant volumes of data and systems
Ability to work in collaborative and time-sensitive environment
Interest in working in an international environment and working closely with colleagues in different offices
Publications in top tier machine learning venues
Data science and machine learning background i.e. ability to perform data scrubbing, preprocessing, exploratory analysis, hypotheses testing, model fitting etc. and familiarity with recent machine learning frameworks/libraries and status of the field
Interest in or familiarity with financial markets, products, sales and trading is a plus
ABOUT GOLDMAN SACHS The Goldman Sachs Group, Inc. is a leading global investment banking, securities and investment management firm that provides a wide range of financial services to a substantial and diversified client base that includes corporations, financial institutions, governments and individuals. Founded in 1869, the firm is headquartered in New York and maintains offices in all major financial centers around the world.