PhD candidate in Machine Learning for Risk Management in Trading Activities
The Quantitative Analytics group at ING Bank Amsterdam together with the Institute for Informatics at University of Amsterdam invites an application for an Early Stage Researcher (ESR) PhD scholarship in the EC Horizon 2020 funded Marie Skłodowska-Curie Innovative Training Network (ITN) “Training for Big Data in Financial Research and Risk Management.”
Machine Learning for Risk Management in Trading Activities
The main objective of the project is to develop a prototype framework for pricing and risk management using machine learning algorithms and a large variety of heterogeneous and high-volume data, including tick-by-tick quotes of bond prices, market data underlying economic indicators (such as interest rates, foreign exchange rates, inflation rates, and commodity prices) and news feeds. This predictive analytics framework will be used to understand hidden structures in the data and as a test bed for trading risk management with a strong emphasis on back-testing of algorithms in real and artificially simulated environments. The research should lead to scientific publications which will be the basis for the PhD thesis.
The Quantitative Analytics group is part of the department ING Financial Markets (FM). FM is the Bank’s gateway to the professional markets of the world. Our primary function is to service the needs of ING’s clients with products, services and advice. FM aims to be a leading market player in our home markets, with an additional presence in all the major international markets and specialist expertise in selected emerging markets and products.
The Computational Science Laboratory (CSL) of the University of Amsterdam concentrates on novel ways to model and simulate the highly complex world around us. CSL consists of a truly multi- and cross disciplinary team of researchers spanning fields as diverse as finance, biology, medicine and computer science, and is also responsible for the international (research) Master Computational Science and contributes to various Bachelor and Master programs within the Informatics Institute, the UvA and the Amsterdam University College. For more information, see http://uva.computationalscience.nl/
• We are looking for talented, creative and highly motivated researchers. A suitable background for these open position includes Computational Science, Artificial Intelligence, Applied Mathematics, Applied Physics and other related areas.
- Fluent written and spoken English and solid programming (C/C++/Python/R/Matlab) are required. Excellent skills in statistics, applied mathematics and data analytics are essential. Skills in financial analysis are acknowledged. If separately asked from a candidate, a suitable English language proficiency test may be required.
- Candidates applying for the doctoral student position must hold Master’s degree in a relevant field and the recruited candidate is expected to enroll as a PhD candidate at University of Amsterdam.
- Applicants shall, at the time of recruitment by the host organization, be in the first four years (full-time equivalent research experience) of their research careers and not yet have been awarded a doctoral degree. Full-Time Equivalent Research Experience is measured from the date when a researcher obtained the degree that would formally entitle him/her to embark on a doctorate.
- H2020 MSCA Mobility Rule: at the time of recruitment by the host organization, researchers must not have resided or carried out their main activity (work, studies, etc.) in the country of their host organization (Netherlands) for more than 12 months in the 3 years immediately prior to the recruitment date. Compulsory national service and/or short stays such as holidays are not taken into account.
Salary: The salary will be set in accordance with MSCA ESR rates including mobility and family allowance depending on the ESR’s personal situation.
What do we offer ?
· a 40-hour working week
· job grade 8/9 (depending on experience)
Applications should include the following information, in separate pdf files (not zipped), using surname, initials and a self-evident word as file names (e.g. Smith J. CV):
- A curriculum vitae (including an url for download of M.Sc. thesis — if relevant);
- A letter of motivation (at most 1 page) explaining why you are interested in this position and a research statement (at most 2 pages), explaining your research interests and experience;
- A list of all graduate courses taken, with a transcript of grades;
- The name and contact details (including email address) of two – three referees who can provide details about your profile (one of whom should be the main supervisor of your Master thesis).
Completed applications should be submitted by the 15th of February 2016 and should state your name and Application – BigDataFinance in the subject field.
The committee does not guarantee that late or incomplete applications will be considered. Please note that you may also apply even if you have not yet completed your Master’s degree.
Apply online HERE
Do you have questions about this vacancy please don’t hesitate to contact dr. Drona Kandhai, telephone number +31 (0) 630861691 or email Drona.Kandhai@ingbank.com.
For more information about ING check: www.ing.nl.
We are looking forward to your application!