Microstructure Quant Researcher – Market Impact & Alpha Decay | Systematic Fund | London

A systematic fund with a strong execution focus is seeking a Microstructure Quant Researcher to lead research into market impact modelling, alpha decay, and optimal execution. This role sits at the intersection of quantitative research and trading and is one of the most intellectually demanding — and financially rewarding — positions in systematic finance.

The Role:

You will own the research agenda for market microstructure at the fund. Your work will directly improve execution quality and preserve alpha for the fund's systematic strategies. As strategies scale, microstructure research becomes increasingly valuable — and so does your contribution.

Key Responsibilities:

• Research and model market impact, price impact, and alpha decay across equity and derivatives markets

• Develop optimal execution algorithms and VWAP/TWAP enhancement models

• Build transaction cost analysis (TCA) frameworks for strategy evaluation

• Research liquidity provision, adverse selection, and order book dynamics

• Collaborate with quant developers to deploy execution models into the trading stack

• Evaluate broker algorithms and execution venue performance

• Analyse tick data, order book snapshots, and trade data across global markets

Required Experience & Qualifications:

• PhD in Mathematics, Physics, Statistics, Computer Science, or Financial Mathematics

• 3–7 years of microstructure research experience at a hedge fund, bank, or prop trading firm

• Deep knowledge of equity market microstructure, order book dynamics, and execution modelling

• Expert Python skills and experience with high-frequency tick data analysis

• Familiarity with academic market microstructure literature (Almgren-Chriss, Gatheral, etc.)

• Experience with multi-venue execution and dark pool analytics a strong advantage

What We Offer:

• Highly competitive compensation with direct link to execution alpha contribution

• Access to rich, high-resolution tick data across global equity markets

• Collaborative environment with top quant researchers and execution specialists