Data Scientist - Intraday Dynamics
Two Sigma
Data Science
New York, NY, USA
Role Summary
Design, implementation, and productionization of predictive features from high-frequency high-volume intraday datasets; sitting at the intersection of modeling, data-science and finance; requiring domain understanding of the underlying data; ability to formulate and test feature hypotheses; and work with engineering partners to deliver robust production pipelines. A key emphasis is advancing the team’s LLM-based featurization platform to systematically ideate, generate, evaluate, and refine features from complex intraday datasets.
Key Responsibilities
Intraday Feature Development
Design and implement features from intraday options feeds, microstructure and order book, etc.
Serve as Intraday Dynamics’ 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 Intraday Dynamics 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
- 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