LONDON – 2023 LONG TΞЯM INTΞЯNSHIP – AMM COMMODITIΞS
Job type Trainee / Internship
Job Function Digital transformation and data
Brand BNP Paribas Corporate & Institutional Banking
Study level Master Degree or equivalent (> 4 years)
Location London, England, United Kingdom
Who We Are
BNP Paribas Corporate & Institutional Banking (CIB) is a leading European investment bank with global leadership in many of our businesses. We are part of the BNP Paribas Group, a financial institution with solid foundations and a proven ability to adapt to change. If you are thinking about a career in investment banking, there is no better place to begin your journey than with BNP Paribas CIB. With nearly 30,000 employees in over 55 countries, we can offer you an exciting start to your career.
At BNP Paribas CIB, we work continuously on behalf of our clients, helping them to realize their projects around the world. You can be an important part of this, helping us to serve our clients both in mature and emerging markets, providing them with financial solutions across a diverse range of expertise, products and services. Our origins lie in Europe but nearly a quarter of our employees now works in our multi-award-winning Asia Pacific offices and we are a committed player in all markets.
Strong risk management, combined with the stability that comes from being part of one of the largest banking groups in the world, underpin our success. Joining us, you’ll become an integral part of a dynamic team that spans nationalities, cultures and backgrounds, drawing together people from around the globe and reflecting our commitment to international placements.
Business Area/Dept Overview:
AMM (Automated Market Making) work is ranging from building electronic market making strategies, algorithm design, execution strategies to provide liquidity internally and externally on large range of products and subsequently hedging risk inherited from internal and exchange flows. The day to day job is highly quantitative and IT driven.
During his internship, the candidate will be based in London. There will be a strong focus on quantitative research/trading and with strong interaction between quant traders and IT strategist (both in Paris and London). The primary working landscape will be on fair value calculations and execution optimization. The underlying will range from base metals, oil, gas and soft commodities.
Purpose & Scope of role:
The team is working on the automated execution of futures and spreads targeting settlement prices around the roll period. This is a key project in collaboration with the QIS (Quantitative Investment Strategies) desk and will incur a significant flow.
While the framework is being put in place to handle wide range of market conditions and to adapt to it, the desk will be looking to improve the overall performance of the execution through:
- Improvement of the prediction of order book moves using cross instrument micro-structure data (e.g. TAS, outright futures, curve modelling etc.).
- Volatility modelling accounting for seasonality and heteroscedasticity (e.g. GARCH, SARIMA, etc.).
- Open interest intra-day prediction through implied volumes regression in order to unveil participants involved.
The internship will involve heavy market data analysis, statistical validation of the results and after implementation in our platform a final phase of back-testing and calibration of the strategies.
Key Responsibilities of role:
- Being fluent with internal tools, back testing tools and analytics library (Lynx/XTI/EDGEstat)
- Back-test systematic Market Making strategies
- Perform simulation of execution stratégies
- Help improve execution both liquidity placement and liquidity taking
- Work on modelling cross assets relationships
- Work with strategist to implement tools adaptation (Automaton : Edge / Backtester : Lynx)
- Handle production as other members of the team.
- Perform Academic research digest on quant modelling topics
Experience, Qualifications & Competencies:
- Excellent Analytics and Quantitative skills
- Knowledge of programming language : Python is a must, Java is a plus
- Demonstrate tenacity
- Strong interpersonal skills and proactive approach to problem solving
- Ability to work under pressure and multi-task
- Strong organisational skills
- Team Player
- Strong academic record, by preference Master in Quantitative finance
- Previous internship or work experience related to modelling/programming is a plus
- Be a role model, supporting and fostering a culture of good conduct
- Demonstrate proactivity, transparency, and accountability for identifying and managing conduct risks
- Consider the implications of your actions on colleagues
Start Date: August 2023
Salary: Competitive Length of Internship: 6-11 months
Primary Location GB-London
Job Type Long Term Internship
Job Not applicable