Senior Quantitative Researcher Market Microstructure Chicago

Base salary: $210,000–$285,000 USD, based on experience

Work arrangement: Fully remote; applicants must be based in the Chicago, IL area

Experience: 7+ years Additional compensation: Performance-bonus and equity eligibility based on role and level

About the Role: The central responsibility of the Chicago, IL opening is the full evidence path from event-time data design through production review of market-microstructure measures. The assigned window includes Central Time coordination across cash equities, listed derivatives, and both coastal schedules. Success requires reproducible work, prompt escalation, and clear ownership through review and production use. Chicago Operating Focus The Chicago opening emphasizes derivatives-aware review, pre-open preparation, and controlled live-market escalation. The Central Time window connects overnight futures behavior, the equity open, listed-derivative activity, and the afternoon cash close in one working day. The role must separate information that transfers across instruments from relationships that only appear during a short regime. Any production response needs an owner, a limit, and a review time. For this role, that means direct ownership of event-time data quality, liquidity diagnostics, and intraday research review during Central Time coordination across cash equities, listed derivatives, and both coastal schedules. First Review Cycle In Chicago, IL, the first formal review will assess event-time data quality, liquidity diagnostics, and intraday research review under the normal controls used for Central Time coordination across cash equities, listed derivatives, and both coastal schedules. Any proposed response must remain within an approved limit. Two assigned tasks anchor the evidence: Document assumptions, failure modes, and regime sensitivity; and Design studies of spreads, depth, impact, auction behavior, and short-horizon price response. The Chicago opening emphasizes derivatives-aware review, pre-open preparation, and controlled live-market escalation. The record must show how each result affected the review. Before the review closes, you will state what changed, what did not change, and what needs more evidence. A peer must be able to follow the result back to the full evidence path from event-time data design through production review of market-microstructure measures.

Responsibilities: Design studies of spreads, depth, impact, auction behavior, and short-horizon price response Build event-time datasets without look-ahead or survivorship bias Partner with engineering to productionize validated measures Document assumptions, failure modes, and regime sensitivity Own event-time data quality, liquidity diagnostics, and intraday research review during Central Time coordination across cash equities, listed derivatives, and both coastal schedules.

Required Qualifications: Advanced degree in a quantitative field or an equivalent research record

Preferred Qualifications: Experience with order-book data, auctions, or transaction-cost models

Benefits: Medical, dental, and vision plan options with substantial company support