Data Scientist - Modeling

• Design and implement features from intraday options feeds, microstructure and order book, etc.

• Serve as the team's expert on vol markets. Produce frequently updating features for spot trading based on data from these markets

• Leverage modern AI to maximum effect at every stage of the feature development process

• Rigorous QA including lookahead detection, coverage analysis, and vendor data reconciliation

• Collaborate with modelers on the team to evaluate predictiveness and integrate features into production models

LLM-Based Featurization

• Participate in the team’s focus on LLM-based featurization and agentic workflows. Share skills, insights, etc. with team mates

• Scale existing LLM featurization pipelines to new intraday datasets – esp. OPRA and microstructure

• Design prompting strategies and directives to generate domain-informed features at varying complexity levels

• Build evaluation frameworks for LLM-generated features (normalization, residualization, learner-based testing)

Qualifications

• Good understanding and intuitions about intraday options markets data -- OPRA, NOTO, PHOTO, PHILX, open-close options data

• Experience building LLM-based featurization pipelines -- including iterative improvement, automated testing, and productionization

• Experience with time-series data, financial datasets, or quantitative research

• Ability to work independently on ambiguous research problems while delivering production-quality output

• Experience working with high frequency trading platforms and infrastructure

• Strong communication skills - ability to present at forums like FeatureCon and collaborate across modeling and engineering

You will enjoy the following benefits:

• Core Benefits: Fully paid medical and dental insurance premiums for employees and dependents, competitive 401k match, employer-paid life & disability insurance

• Perks: Onsite gyms with laundry service, wellness activities, casual dress, snacks, game rooms

• Learning: Tuition reimbursement, conference and training sponsorship

• Time Off: Generous vacation and unlimited sick days, competitive paid caregiver leaves

• Hybrid Work Policy: Flexible in-office days with budget for home office setup

The base pay for this role will be between $165,000 and $300,000. This role may also be eligible for other forms of compensation and benefits, such as a discretionary bonus, health, dental and other wellness plans and 401(k) contributions. Discretionary bonus can be a significant portion of total compensation. Actual compensation for successful candidates will be carefully determined based on a number of factors, including their skills, qualifications and experience.

We are proud to be an equal opportunity workplace. We do not discriminate based upon race, religion, color, national origin, sex, sexual orientation, gender identity/expression, age, status as a protected veteran, status as an individual with a disability, or any other applicable legally protected characteristics.

Two Sigma is committed to providing reasonable accommodations to qualified individuals in accordance with applicable federal, state, and local laws.

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