Internship offers for 2009-2010 (open PDF files for detailed offer)

Internship on Futures on Volatility : January 2010 or later, for 4-6 months.

A new asset class within the world of financial derivatives has recently emerged a decade ago: volatility itself and futures on volatility. Pricing such esoteric instruments requires a knowledge of the kurtosis of the distribution curve, which is a difficult information to obtain. It also requires the advent of models which take into account jumps in the distribution of asset prices such as variance-gamma or Heston models. We propose an internship research subject that aims at understanding the behaviour of futures on volatility and the implementation of arbitrage strategies based on algorithms and trading robots that will make transactions in the market. The robots are going to be built in-house, leveraging on a lot of tools that we have developed. Among the different mathematics subjects that will be handled : volatility of volatility, skewness, gamma hedging, real-time pricing, log contracts. Who should apply ? Students from Polytechnique, Telecom Paris, Mines de Paris, and Centrale Paris. DEA from P6 and P7 are also admitted only if they graduated from one of the previous schools. Dates are flexible, starting from January 2010 or later, for a length of 4 to 6 months. Location : Paris, France. Email: stages@arbitragis.com Open PDF file for more.

Internship Subject: Building a Real-Time Arbitrage Trading Robot (January to March 2010, for 4 to 6 months)

You have learned in graduate school that stocks follow a brownian movement and that it is hence impossible to predict the future to make money on the markets. This is wrong. The mathematical relationship between the futures price and the underlying is sometimes violated, especially when markets are dislocating like now: investors may sell futures massively without looking at the value of the underlying stocks. In that case, an arbitrageur just needs to buy the futures and sell the basket of stocks. In real-life, things are not so easy, and a lot of expertise is needed in order to indulge in such arbitrage activities. We intend to build a trading robot that partly relies on these kinds of inefficiencies to trade financial markets. We are looking for a competent intern proficient in C++. Proficiency in finance is not needed, but preferable. Who should apply ? Students from Ensimag, Epita / Epitech, EFREI and other computer science schools, Internship dates Dates are flexible starting from January 2010 or later, for 3 months or more. Email: stages@arbitragis.com Open PDF file for more.

Internship Subject: Building an Analytical Software for Derivatives Pricing

Equity derivatives pricing is a complex task and requires lots of data crunching : historical volatility, implied volatility, dividend levels, credit default swap levels, financial analysis etc.... Analyzing such heterogenous data requires trading expertise and a software. We have built an in-house powerful software in C++ that allows us to have a very good understanding of a specific stock. We are looking for students who would be willing to help us continue and build this software. Who should apply : Students from INSA, Ensimag, Epita / Epitech, EFREI and other computer science schools. Internship dates : Starting from January 2010 or a few months later, for a length of 4-6 months. Email: stages@arbitragis.com Email: stages@arbitragis.com

Internship Subject: Noise Microstructure Analysis in Financial Data

A new field in quantitative finance is emerging : high-frequency trading. This area of derivatives trading is very different from traditional trading (say volatility trading or convert arbitrage) because of the massive amount of data that needs to be processed and because of a relative lack of academic work that has been done on the subject. One big issue that modern finance has not managed to solve yet, is the impact of microstructure noise. Indeed, a stock price tends to bounce between the bid and the ask price and this move, invisible at the daily level, becomes a problem at high frequency. This noise at the tick level pollutes traditional computations of volatility or correlation. In addition, the fact that data under the 2-minute interval may be sparse and unevenly spaced in time makes traditional statistical analysis obsolete: at a high-frequency level, we are dealing with what we call \textit {stochastic time}. We propose an internship research subject that aims at understanding how to handle microstructure noise. Who should apply ? Students from ENS Ulm, Polytechnique, Centrale Paris, Ecole des Ponts, Mines de Paris, Telecom Paris. Students from DEA of P6 and P7 may only apply if they graduated from one of the previous schools. Internship dates Dates are flexible starting from January 2010 or later, for 3 months to 6 months. Email: stages@arbitragis.com

Internship Subject: Parallel Computing and Computational Finance

Equity derivatives pricing and trading requires a massive amount of computation and a fairly good understanding of optimization techniques. Now that we are reaching the limits of the Moore law, a paradigm shift is needed in order to increase computations by orders of magnitude. Parallel computing is one way to solve the problem, but this requires a complete re-thought of the applied mathematics. We are going to study different ways to parallelize well-known algorithms such as gradient descent algorithms and quadratic solvers. Who should apply ? Students from Polytechnique, Ecole Centrale Paris, Mines de Paris, Ecoles des Ponts, Telecom Paris. Internship dates: Dates are flexible starting from Februrary 2010 or later, for 3 to 6 months. email: stages@arbitragis.com

Assistant Trader Internship

Assitant trader internship offer, starting from January 2010 or later, for 6 months. Email : stages@arbitragis.com

Internship for 5 to 6 months : Microstructure Theory: Towards a better Description of the Price Process

At this microscopic level of the price formation process, new analytical tools must be brought in because of issues such as stochastic time or the bid-ask bounce. A massive amount of computing power can be brought in to help solve problems, and a creative approach must be brought in because algorithms must be parallelized to run on vector processors or parallel cores. We propose a challenging internship research subject that aims at understanding how to handle microstructure noise.