Stage - Portfolio Backtesting Optimization
Paris, 75, FR
ABOUT CFM
Founded in 1991, we are a global quantitative and systematic asset management firm applying a scientific approach to finance to develop alternative investment strategies that create value for our clients.
We value innovation, dedication, collaboration, and the ability to make an impact. Together, we create a stimulating environment for talented and passionate experts in research, technology, and business to explore new ideas and challenge existing assumptions.
The team :
At the frontier between research and IT implementation, the Portfolio Construction team is responsible for the daily monitoring, backtesting and calibration of CFM's various portfolios.
The role:
The Portfolio Construction team is responsible for all CFM portfolios. In particular, it maintains the simulators used to backtest strategies. These simulators are at the heart of the team's work, as they are used to study and validate all changes - parameters, functionalities, etc. - that could be put into production. - that could be put into production. Together with the team, the job will involve improving these simulators, with two main areas of work:
Optimization :
- Profiling of our in-house optimization library.
- Development of a benchmark of optimization problems representative of Portfolio Construction's uses, which will enable us to monitor potential drifts and study alternative solutions.
- In-depth analysis of used or usable solvers, with an examination of their theoretical and practical strengths and weaknesses.
Algorithms:
- In-depth analysis of our use of scientific libraries, such as pandas, numpy scipy
- Development of time and space complexity tests that will enable us to monitor and improve the performance of our processes.
- Exploration and study of alternative libraries
Your profile:
- Engineering school or university equivalent (bac +4/5)
- You have skills in Python
- You have skills in Pandas
- Knowledge of market finance is not a prerequisite, but a plus
- You are interested in low-level code and optimization
- You are rigorous and have good communication skills
- You have good analytical skills, are autonomous, a team player and interested in new technologies.
EQUAL OPPORTUNITIES STATEMENT
We are continuously striving to be an equal opportunity employer and we prohibit any discrimination based on sex, disability, origin, sexual orientation, gender identity, age, race, or religion. We believe that our diversity, breadth of experience, and multiple points of view are among the leading factors in our success.
CFM is a signatory of the Women Empowerment Principles.
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