Quant jobs / Millennium

Quantitative Researcher – Market Impact Modeling

A research role in Central Liquidity Strategies building market impact models used in execution and portfolio construction. It sits in Execution Services alongside traders and engineers.

What you’d work on

Our reading of the posting: what a new hire in this role would most likely spend their first months on.

Estimate market impact from real trade data
Improve and implement impact models across asset classes
Build model fitting and calibration frameworks
Deal with data bias and causal inference in impact estimation
Integrate models into portfolio construction with trading and engineering

What they ask for

Required

Master's or PhD in a quantitative discipline
Market impact or microstructure research experience
Real-world data analysis
Understanding of endogeneity and causal inference
Python
kdb+/q
Clear communication of model limits

Education: Master's or PhD in physics, maths, OR, statistics, finance, economics, financial engineering or similar
Experience: Significant market impact or microstructure research experience
Languages and tools: Python
KDB+/q
Markets: equities, multi-asset

How to prepare

Fit a square-root impact model on public or simulated trade data
Study causal inference problems in impact estimation
Learn kdb+/q basics for tick data
Read the academic literature on transaction cost analysis

What to study

The HFT Quantitative Researcher roadmap sets out the stages for this kind of role, with free resources for each.

Open the roadmap

Apply

Read the full posting on Millennium’s site before applying: requirements, location and pay can change after we check them.

View the posting on Millennium’s site ↗

SelfMadeQuant wrote this summary from the employer’s public posting, last checked 6 November 2026. SelfMadeQuant isn’t affiliated with Millennium and doesn’t handle applications.