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 11–20 of 20 · filtered from 100Clear filters
  1. 051Five players trade a contract that settles at the sum of ten dice rolled one at a time in public. After four rolls totalling 17, one player bids 38 and another offers 36. What is fair value, and what can you lock in by trading between them?Market-making gamesWarm upDRWNew York · 2026
  2. 059A Rs 100 crore book targets 10% annual volatility. The asset's volatility is 25% today against 15% last month. What gross exposure does the target imply now and then, and what happens if volatility spikes to 40%?Position sizing and bankrollWarm upSystematic hedge fundsRisk quant
  3. 068An analyst adds 12 macro variables to a 3-variable return model estimated on 120 months, and R-squared rises from 8% to 17%. Compute adjusted R-squared before and after and an F-test on the added block. Did the twelve add anything?Regression and model reviewWarm upQuant researchSystematic hedge funds
  4. 069An endowment can mix a risky portfolio with 8% expected excess return and 16% volatility with cash. It wants 10% volatility. What allocation does it hold, and what excess return should it expect?Portfolio constructionWarm upPortfolio constructionSystematic hedge funds
  5. 072A stock will join a benchmark tracked by Rs 20,000 crore of passive money at a 0.8% weight, and it trades Rs 60 crore a day. Estimate the passive demand in days of volume and the likely price pressure around the effective date.Statistical arbitrage and event tradesWarm upSystematic hedge fundsExecution and microstructure
  6. 082Kovidam Steel trades at Rs 1,000 and its 30-day future at Rs 1,012. Funding costs 7% a year and no dividend is due. What is the fair futures price, what is the arbitrage, and what does it earn a year?Statistical arbitrage and event tradesWarm upSystematic hedge fundsQuant trading
  7. 087Aviratam holds two positions of Rs 50 crore each, with annual volatilities of 20% and 25%. What are the portfolio volatility and one-day 99% VaR at the modelled correlation of -0.3, and at a crisis correlation of +0.8?Risk measurement and limitsWarm upRisk quantPortfolio construction
  8. 092Kadvari's signal uses each day's closing price to trigger a trade executed at that same close. Re-run with execution at the next open and the annual return falls from 15% to 4%. Where did the 11 points go, and how do you fix the timing?Strategy evaluation and backtestsWarm upSystematic hedge fundsQuant research
  9. 094Bhavantar is long 100 at-the-money straddles with total gamma of 40 shares per rupee. The stock moves 1,000, 1,010, 1,000, 990, 1,000 during the day, theta costs Rs 3,000, and the desk re-hedges at each step. What is the net P&L?Options and volatility tradingWarm upOptions market makingQuant trading
  10. 095Read a regression output: Kalindor Motors' monthly returns on the market over 60 months give beta 1.35 (standard error 0.15), alpha 0.2% a month (standard error 0.4%) and R-squared 0.58. Does beta differ from 1, what is its 95% interval, and what do you make of alpha?Regression and model reviewWarm upWolverine TradingChicago · 2016

Company names and figures are illustrative.