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What's a quant researcher? The life of a quant researcher at Citadel Securities in Miami

Will Kaufhold is a quantitative researcher in Citadel Securities’ Miami office. He joined the firm in 2021 after completing a PhD in physics at the University of Cambridge. 

7am-8am: I wake up. I live a five-minute walk away from the office in an apartment complex north of the river in Miami. I try to keep things civilized and usually go for a jog or cycle before work. The beach is only a 10-minute cycle away and for a while I got into early morning swimming. Because my hours aren’t dictated by the markets, I can ease into the day more than those in some other roles in finance. 

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8.30am. I arrive at the office and check the overnight P&L (profit and loss) of the strategies we’re running. After I’ve checked the P&L, I prioritize pressing issues, including any bugs that have been raised. I’ll check the results of the compute jobs that were completed overnight. 

9.30am. I usually spend some time in the morning collaborating with my European colleagues. I’m a quantitative researcher on the FX team. Most FX is traded electronically, and it’s not constrained by US trading hours: it’s a 24-hour market and I’m only working for a portion of that period, so it’s good to understand what my colleagues in London and elsewhere have been seeing. 

1030am. I have a meeting with some of my direct reports who look after their own strategies. I started managing people just a couple of years after joining Citadel Securities, which doesn’t happen at many firms but isn’t at all unusual here. It’s brought an entirely new dimension to my role that I really enjoy. During these meetings, we’ll synch up to discuss my team’s ideas and observations. They might have ideas for improvements that allow us, for example, to take more opportunities with less risk. Everyone on the team is encouraged to take initiative and ownership of their projects.

11am. After the meeting, I focus on refining our strategies. Broadly, my role involves working with data to generate insights that inform trading in the FX markets. As a quantitative researcher, it’s my job to develop and deploy our automated strategies to provide liquidity in the FX markets and drive better outcomes – and I do that by building models and systematic trading algorithms.  

95% of the time, our strategies don’t require human input: they’re fully systematic. A lot of my job therefore involves monitoring our existing strategies as well as improving them and applying them to new products. My team members and I apply our research quickly and get fast feedback from the markets, so we never have to wait long to see the impact of our work.  

12.30pm. I break for lunch. We have catered food and often eat lunch together with a beautiful view over the bay. Sometimes I get very focused, though, and will eat lunch at my desk. 

1.00pm. I spend more time refining our strategies. We are always trying to drive the firm’s competitive edge by improving our strategies. We derive ideas for improvements from post-trade analysis and looking at why trades were successful or unsuccessful. It’s about understanding patterns and how we can replicate good performance. 

3pm. I have a meeting with some of our quantitative researchers who are trading different assets. I want to understand how they are managing their risk and opportunities and whether we could apply what they are doing to the FX markets. 

3.30pm. I’m refining our strategies again, while thinking about how we could either develop new strategies or apply our existing strategies to different opportunity sets. I work closely with our traders, who help monitor the strategies’ performance – they might, for example, flag upcoming economic events that present a risk that’s difficult to model. 

When we conceive a new strategy, we will test it using our existing market data and will try to see whether it’s profitable based on historic patterns. We try to be systematic and intentional in strategy construction, creating trading strategies that are as optimized as possible. I also work closely with our engineers, whose work powers what we do. 

6pm. I tend to leave the office around 6pm, but if there’s something I’m really focused on or trying to finish I will sometimes stay later. Constructing, testing, and refining hypotheses has always been fun for me, so sometimes I just want to keep pushing forward.  

7pm. A few times a week, I go to the track club in Miami. There’s a great running scene here and it’s been a nice way to make new friends while keeping up with a hobby I enjoy.  

9pm. When I get back home from my run, sometimes I’ll do a bit more work. I’m passionate about what I do and enjoy working late at night because there aren’t any interruptions and I can really focus. In the evenings, I like to unwind by reading a good book. Some recent ones include “The Songlines,” “Homage to Catalonia,” and “Something to Do with Paying Attention.” 

12am. I’m a bit of a night owl and usually go to bed around midnight. I’m able to keep a pretty sensible schedule even while staying focused on my work and keeping up with my interests outside of the office.   

 

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AUTHORSarah Butcher Global Editor

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