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ATS sits within the FX trading desk. We research, develop and maintain fully automated trading strategies across FX markets. ATS is the owner of the strategies and is directly accountable for the revenue.
The two axes of our business are: high-frequency market-making (principal trading) and developing algorithms for our clients (agency trading).
ATS work is quantitative at its core, high frequency trading generates large amounts of data, we focus on building rigorous and scalable statistical models that help us understand the market's structure and ultimately help us develop strategies. Here are some themes we are looking at: Market micro-structure dynamics, market impact of large orders, information leakage, robust price construction, efficient risk-management.
J.P.Morgan is one of the key players in FX markets, our team has been ranked #1 in the annual Euromoney survey for the last 3 years. Staying number one is a constant challenge for the team in an increasingly competitive space.
We are looking for a mix of quantitative skills (statistics, optimization, machine learning) and coding skills (Ideally object-oriented e.g. C++, Java). There is no need to be an expert in all aspects, the team benefits from having a variety of skillsets.
The person's work can be of varied nature depending on interest. On the research side there is a permanent need for new and original research around the aforementioned themes. On the coding side we are always keen on improving the codebase for minimum latency.
Examples of projects
New method of calibrating market response to J.P.Morgan's prices;