Job Description

Description

:

Department

Energy Market Quantitative Analytics (EMQA)

The EMQA team is part of the front office organisation. The purpose of the team is to produce systematic strategies and build automated execution solutions through research and technical implementation.

Position purpose

The objective of the internship is to develop and implement a market impact model applied to the continuous intraday power market. A market impact model quantifies how trading activities affect prices, helping traders to make informed decisions while managing risk and transaction costs.

The intraday power market is a short-term electricity trading market that operates after the day-ahead market, allowing participants to buy and sell power continuously up to shortly before delivery. It enables market actors – such as utilities, traders, and renewable producers – to adjust their positions in response to changes in demand and generation. The intraday market exhibits high volatility and varying liquidity which makes market impact modelling particularly relevant.

Main responsibilities

  • Develop an understanding of the microstructure of the intraday power market – namely short horizon price dynamics – through liquidity, volatility, and order book behaviour
  • Design and implement a market impact model - building on your analysis and relevant literature
  • Use a robust approach to backtest and validate your model
  • Implement your model in systems used for the backtesting of strategies
  • Collaborate with our team and the intraday traders to understand the project requirements and translate findings into actionable improvements for systematic trading strategies.

    • Person specifications and professional requirements

  • Quantitative background (Maths, Physics, Engineering...)
  • Strong analytical skills
  • Strong interest in energy markets
  • Coding skills in Python and C# ideally
  • Good communication skills

    • Duration:

    6 months, starting February/March 2026

    Hours of work:

    35 hours/week, Monday to Friday

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