A PROPOS DE NOUS :
Within the Léonard de Vinci cluster, the ESILV – Ecole Supérieure d’Ingénieurs Léonard de Vinci – is a generalist engineering school at the forefront of digital technologies. It primarily recruits students at the high school diploma level as well as from CPGE (Preparatory Classes for Grandes Écoles) and trains operational engineers who seamlessly integrate into the professional world. The pedagogical project of ESILV revolves around digital sciences and technologies, with a strong interdisciplinary approach that includes 20% of its curriculum shared with the school of management (EMLV) and the digital school (IIM), including a 5-year double-degree program in Engineering and Management. The offered specializations focus on finance (Financial Engineering, Actuarial Science, and Fintech), computer science (Data & AI, Connected Objects & Cybersecurity, Cloud Computing & Cybersecurity), mechanics (Modeling & Digital Mechanics, Industry & Robotics), energy (Energy & Sustainable Cities), healthcare (Biotech Health), and agriculture (Agriculture & Food Engineering). ESILV also offers two Bachelor’s degrees in Digital Engineering and Technology & Management. With 3600 students, ESILV is a member of the CGE (Conférence des Grandes Écoles), UGEI (Union des Grandes Écoles Indépendantes), CDEFI (Conférence des Directeurs des Écoles Françaises d’Ingénieurs), Campus France, and Talents du Numérique. Website: www.esilv.fr.
VOS MISSIONS :
Postdoc position on Crypto Futures and Market making, supervised by Jerome Busca (ESILV) and Martino Grasselli (ESILV and Univ. Padua). The project will be carried out within a hedge fund in the Paris region. Remuneration and job perspectives are attractive compared to similar positions.
The roadmap of the project is supposed to be as follows:
– Automatize calibration of parameters for market making algorithm à la « Avellaneda & Stoikov » (Market making under inventory risks, Quantitative Finance 2008) in the cryptocurrencies market.
– We have identified some mid-frequency alphas on main crypto futures. Validate/Challenge/Improve our approach for incorporating alphas into market making strategies.
– Build relevant features for microstructure alpha on perpetual futures.
– Build an API that feeds trading automaton with calibrated parameters and real time alphas.
VOTRE PROFIL :
Applicants must hold (or are going to finish) a Ph.D. in financial engineering or computer programming and have an active record of research and publication. Qualifications must include a deep knowledge of financial derivatives and option pricing/volatility modeling issues.
The candidate possesses a personal profile that showcases a remarkable set of soft skills essential for success. Their approach is unequivocally biased towards excellence, coupled with a controlled ego, which reflects their commitment to achieving the highest standards. Their ability to embrace new ideas and remain radically open-minded allows them to adapt to ever-evolving landscapes and continuously strive for improvement. As a team player, they consistently seek to establish synchronization with their colleagues, recognizing the power of collaboration and its impact on overall productivity. Additionally, their hands-on and pragmatic nature, combined with a business-focused mindset, ensures they can effectively navigate challenges and make practical decisions. Furthermore, they are comfortable employing strongly processed approaches, understanding their significance in constructing efficient research pipelines. With their comprehensive skill set and unwavering dedication, this candidate is poised to make significant contributions in any professional environment.
The following hard skills are more than welcome:
– a strong understanding of market microstructure /optimal execution research topics;
– master Python and its libraries, writing clear, modular, and maintainable code: we want teammates who believe in the efficiency of readable code.
– experimented in Time series analysis/supervised Machine Learning;
VOTRE CANDIDATURE :
The applicant should submit:
– A certificate of doctoral degree or a declaration of enrollment in a doctoral program
– All degree transcripts and certificates (and certified translations if applicable).
– A short research proposal (max 2 pages) relating the applicant's background to the general topic of the project.
– A full CV and cover letter describing your background and research interests (max 2 pages).
– Two references
– Only complete applications (i.e., those that are not missing the above documentation) will progress forward for further consideration.
