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Associate, Quantitative Software Developer

AQR Capital Management, LLC

Greenwich, Connecticut 06830
Job Type:
Job Status:
Full Time
  • Software Engineering
AQR Capital Management, LLC
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Job Details

Associate, Quantitative Software Developer (AQR Capital Management - Greenwich, CT) Design and execute proprietary systems and tools that drive quantitative strategy research. Collaborate with researchers as a quantitative software developer in GAA Research Development. Build and extend AQR's proprietary portfolio construction and optimization techniques as well as the company's global asset risk estimation system. Ensure successful operation of research APIs, leveraging cloud computing and cutting-edge visualizations and high-performance historical simulation engine. Design and develop workflow platform using services, messaging, and graph-based dependency awareness. Deliver portfolio analytics and attribution platform that integrates AQR fund holdings with Bloomberg PORT across fixed income strategies. Implement new fixed income pricing engine utilizing FinCAD library to provide high-level abstraction. Re-engineer Stock Timing Model and establish consistency with Bond Timing Model. Leveraging technologies in managed futures, replace existing infrastructure used to calculate end-of-day interest rate future returns with high frequency minutely returns.



Requires a Master's degree (or foreign equivalent) in Computer Science, Mathematics, or related field and 3 years of experience in the job offered or in a financial engineering role within the financial services industry, including participating in systems architecture and design. Must have 1 year of experience in the following: Python and numerical libraries, including Pandas and NumPy; utilizing Scala, C# and WPF; Barclays POINT or Bloomberg PORT analysis tools; relational database design and query performance; linear regression analysis techniques, including OLS and GLS; pricing analytics of Fixed Income securities, including bonds and interest rate swaps; Must also have graduate-level education or academic research in the following: mean-variance portfolio optimization; yield curve construction and bootstrapping techniques; credit default swaps, default probability curves, FX forwards, and portfolio currency hedging. Experience may be gained concurrently.


Please submit resumes by mail to AQR Capital Management, LLC, ATTN: Stephanie Rao, 2 Greenwich Plaza, 3rd Flr, Greenwich, CT 06830. Reference Job Code AQR-175.

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