London - Long Term Internship 2024 - Automated Market Making Commo

Europe
UK
London
Long Term Internship
Global Markets
Not applicable

WHO WE ARE

BNP Paribas is a leading bank in Europe with an international reach. It has a presence in 73 countries, with more than 196,000 employees, including around 149,000 in Europe. The Group has key positions in its three main activities: Domestic Markets, International Financial Services (whose retail-banking networks and financial services are covered by Retail Banking & Services) and Corporate & Institutional Banking, which serves two client franchises: corporate clients and institutional investors.

BNP Paribas Corporate and Institutional Banking is a globally recognised leader offering capital markets, securities services, financing, treasury and advisory solutions.

BNP Paribas’ Global Markets business offers a broad range of products and services in the global interest rates, credit, currency, equities & commodity markets. Global Markets help their franchise of clients find effective ways to raise and invest capital as well as manage their exposure to risk. Their client base comprises of hundreds of corporations, institutional investors, banks, governments and supranational organizations.

ROLE RESPONSIBILITIES 

AMM (Automated Market Making) work is ranging from building electronic market making strategies, algorithm design, execution strategies to provide liquidity internally and externally on large range of products and subsequently hedging risk inherited from internal and exchange flows. The commodities underlying in the scope are currently oil, base metals, agricultural products, emissions allowances, EU GAS, US GAS and Power.

The day to day job is highly quantitative and technology driven. 

There will be a strong focus on quantitative research/trading and with frequent interaction between quant traders, voice traders and IT strategists. The primary working landscape will be across execution optimization, ranging from microstructure signals to multi assets analysis. 

The two proposed projects are as follow:

Investor Roll project: Automation of the trading spread roll for BNP Paribas’ Commodities QIS (Quantitative Investment Services) department. This project is currently being rolled out in production. Tasks are including: Spreads decomposition for impact mitigation, Backtesting and post-trading analysis, Price and Volume forecasting models, Order book elements filtering models

      Execution project: improvement of the execution layer for BNP Paribas’ client franchise in Cortex CD. Task are including:Improve the pricing model and algorithm for oil futures and spreads, considering the electro books current position, market liquidity, volatility, etc., Implement the algorithm and the estimation of parameters used in the model, Develop optimization algorithm for the liquidation of oil residual spread positions on illiquid maturities (“bucket managing”), Extend the behaviour to from oil to US GAS and Agricultural products

          ROLE COMPETENCIES

          • Back-test systematic market making strategies
          • Perform simulation of execution strategies
          • Help improve execution both liquidity placement and hitting the market
          • Work on modelling cross assets relationships
          • Perform academic research digest on quant modelling topics

           TECHNICAL SKILLS AND QUALIFICATION REQUIRED FOR THE ROLE 

          • Excellent analytics and quantitative skills
          • Statistical modelling and data analysis
          • Strong Python programming knowledge
          • Optimisation knowledge is a plus
          • Strong interpersonal skills and proactive approach to problem solving
          • Strong organisational skills and academic record
          • Previous internship or work experience related to modelling/programming is a plus

          Start Date: ASAP

          Salary: Competitive

          Length of Internship: 6-11 months