Internship - 6 months - Quantitative Algo Trading - Rates F/M

Descrizione del lavoro:

Company Description

Natixis Corporate & Investment Banking is a leading global financial institution that provides advisory, investment banking, financing, corporate banking and capital markets services to corporations, financial institutions, financial sponsors and sovereign and supranational organizations worldwide.
Our teams of experts in close to 30 countries advise clients on their strategic development, helping them to grow and transform their businesses, and maximize their positive impact. Natixis CIB is committed to aligning its financing portfolio with a carbon neutrality path by 2050 while helping its clients reduce the environmental impact of their business.
As part of Groupe BPCE, the second largest banking group in France through the Banque Populaire and Caisse d'Epargne retail networks, Natixis CIB benefits from the Group's financial strength and solid financial ratings (Standard & Poor's: A+, Moody's: A2, Fitch Ratings: A+,R&I: A+).

Job Description

You are joining our team looking for a Quantitative Algo Trading Intern, for a duration of 6 months from January 2027.
Within Rates trading, the Algo Trading team develops quantitative market making, execution and risk management strategies in bond, futures and EURO swap markets.
The team currently operates a proprietary market making platform on EGBs and is gradually developing its electronic trading capabilities in the Eurex futures market.
The internship combines an autonomous quantitative research project and direct participation in the daily operation of the Algo Trading desk.

You will work on microstructure, fill probability, order flow, and the decision between passive or aggressive execution. You will also contribute to the monitoring of market making algorithms in production, with direct exposure to risk, latency, execution quality and P&L issues.
The objective of the project will be to develop an algorithm allowing a given quantity of future rates (Schatz, Bobl, Bund, Buxl, OAT and BTP) to be executed by dynamically arbitrating between:
* cost of execution;
* market risk during execution;
* probability of passive execution;
* adverse selection;
* market impact;
* urgency of the position to be executed.

Unlike a static approach such as TWAP or VWAP, the objective will be to build an adaptive strategy in the instantaneous market state. In collaboration with your tutor, your main tasks will be:
* modeling the probability of filling a passive order;
* estimate of the expected cost of waiting in the notebook;
* measurement of the order book imbalance;
* estimation of the short-term dynamics of the price;
* decision between passive, aggressive or waiting execution;
* dynamic management of aggressiveness based on the remaining time and quantity;
* online estimation of the impact cost and adverse selection;
* definition of a robust execution policy for different liquidity regimes.

Particular attention will be paid to parsimonious models, which can be interpreted and calibrated in real time. The development will be carried out in an event-driven environment, as close as possible to real market conditions.
In parallel with his project, the intern will participate in the daily operations of the desk:
* monitoring of algorithms in production;
* analysis of unusual transactions and behaviors;
* analysis of fills, cancellations, latencies, and execution quality;
* development of monitoring tools;
* analysis of market and order book data;
* participation in testing new versions;
* contribution to the quantitative analyses required by the desk;
* documentation of procedures.

This part of the internship will provide an understanding of the entire chain until integration into a production environment.
#Transformative finance
You operate in an international and inclusive environment, fostering collaboration with concrete missions and a real impact. We will accompany you throughout your experience with us so that you can learn and develop your skills working alongside experienced professionals.
You also have the opportunity to engage in favor of society and causes that are important to you through our corporate foundation.
In addition to an attractive internship allowance calculated according to your training and level of education, you benefit from a reimbursement of 60% of your transport ticket, one paid day of authorized leave for each month worked, and access to the company's restaurant.
You will also have access to the works council.

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Required Skills/Qualifications/Experience

As a Bac+5 student, you are preparing an engineering school diploma or equivalent quantitative training.

You have solid foundations sought in:
* probability and statistics;
* optimization;
* stochastic processes;
* programming;
* numerical analysis.

Prior knowledge of the market microstructure is appreciated but not essential.

You have the ability to go from an economic problem to a simple quantitative formulation and then to an exploitable implementation.

You master C#, C++ or a strongly typed language.

You will be contacted by one of our recruiters before meeting our business experts.

An ideal moment of exchange to highlight your personality and your project.

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