Quant case studies, worked step by step

Cases
100
Traced to a firm
43
Topics
11
Hard
30
Topic
All topicsSignal research and data tasks10Options and volatility trading10Market-making games14Portfolio construction10Strategy evaluation and backtests9Execution and market microstructure8Fixed income and credit8Regression and model review8Risk measurement and limits9Statistical arbitrage and event trades8Position sizing and bankroll6
Level
AnyWarm upCoreHard
Source
AnyReported at a firmStandard
Showing 1–10 of 100
  1. 001A dataset of one-minute order-flow imbalance against next-minute futures returns gives a slope of 0.8 bps per unit, a t-statistic of 12 and an R-squared of 1.5%, with a 3 bp spread. Is the signal tradeable?Signal research and data tasksCoreHudson River TradingAnonymous interview candidate in · 2024
  2. 002An index's 25-delta put trades at 28% implied volatility, the 25-delta call at 20% and at-the-money at 23%. Price a zero-cost risk reversal, explain what the skew is paying for, and say who is on the other side.Options and volatility tradingHardOptions market makingQuant trading
  3. 003You make a market in a coin-flip contract paying Rs 100 on heads. One trade in four is the interviewer, who knows the outcome and trades only when it helps; the rest is balanced. What is the narrowest breakeven spread, and what does quoting 45 at 55 cost over 40 trades?Market-making gamesHardCitadel SecuritiesLondon · 2026
  4. 004A fund holds n stocks equally weighted, each with 30% volatility and pairwise correlation 0.25. What is portfolio volatility for n = 1, 10 and 50, and in the limit, and what does that mean for adding more names?Portfolio constructionWarm upPortfolio constructionRisk quant
  5. 005A backtest shows 18% gross return at 9% volatility, turning the book over 60 times a year at an assumed 5 bps a side. Live, costs are 14 bps a side and only 70% of signals fill. Reconcile the backtest Sharpe with a live Sharpe near zero and decide what to fix first.Strategy evaluation and backtestsHardJump TradingChicago · 2018
  6. 006A broker must buy Rs 50 crore of a stock through the day, and the volume profile is U-shaped: 30% in the first hour, 20% in the last. Build TWAP and VWAP schedules and compare their tracking risk against the day's VWAP.Execution and market microstructureCoreExecution and microstructureQuant trading
  7. 007A fund holds Rs 40 crore of a 2-year government bond (duration 1.9), Rs 35 crore of a 5-year (4.4) and Rs 25 crore of a 10-year (7.6). Compute portfolio duration and DV01, show two ways to raise duration to 5.5, and the P&L of a 50 bp fall in yields.Fixed income and creditWarm upPIMCOLos Angeles · 2026
  8. 008An illiquid mid-cap has a beta of 0.55 from daily returns but 0.85 from weekly returns. Explain the gap, and compute a Dimson beta from lag coefficients of 0.55, 0.22 and 0.08.Regression and model reviewCoreQuant researchRisk quant
  9. 009A short-option book has normal daily P&L with a standard deviation of Rs 1 crore, plus a 0.8% daily chance of a Rs 20 crore loss. Compare 99% VaR with 97.5% expected shortfall and say which captures the risk.Risk measurement and limitsCoreRisk quantOptions market making
  10. 010Stocks in the top decile of earnings surprise drift 1.8% over the next 20 days, with 30 bps round-trip cost and 120 events a year. Compute expected annual P&L at Rs 2 crore per event and discuss the risk that the drift has decayed.Statistical arbitrage and event tradesCoreSystematic hedge fundsQuant research

Company names and figures are illustrative.