Dynamic Index Implementation Team: Morgan Stanley's Equities Derivatives division is looking for an analyst for its Dynamic Index Implementation team. Dynamic Indices are rule-based financial indices that implement a pre-defined strategies within a pre-defined set of asset in order to reach some investment objectives. A strategy could, e.g., invest in a (sub)-set of stocks based on a predefined features (e.g. momentum, trend, market capitalization or other factors), with periodic rebalancing. The indices are then published on a major financial platform (e.g. Bloomberg) for clients to monitors and are then used as underlying of a new financial contract traded by the bank with its client. The objective of such indices is to provide easy access to clients to a wide universe of investment strategies and efficient execution. The Budapest team is specially responsible for the ?double blind? implementation of the index, an independent implementation of the index code to ensure it matches index description and the separate implementation by another team member. Furthermore, the team is responsible for building tooling to increase efficiency of the comparison tool as well as overall infrastructure improvement. The team is part of the Equity Technology division of Morgan Stanley, with a very close interaction and dotted reporting line directly into the Sales and Trading department of the company.
Responsibilities include: · Implement the Java code that describes the evolution of Dynamic Indices that Morgan Stanley sells to our clients. · Align the backtest of the Dynamic Index code with an independent implementation. · Run variations of backtests with the Quantitative Derivative Strategies for pitches to client. · Create tools to assist comparison, decision making & increase efficiency in trading
Skills Required · Due to the constant interaction with the London and the New York offices, a strong command of the English language is necessary. · An advanced degree in a quantitative subject such as Engineering, Applied Mathematics, Physics, Software Engineering · Knowledge of financial products a strong plus, but we will train the right applicant. · The infrastructure is a mix of Java and KDB, a priori knowledge of either/both language is a strong plus. · Drive and desire to work in an intense team-oriented environment.