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 50 · filtered from 100Clear filters
  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. 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
  3. 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
  4. 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
  5. 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
  6. 012In a take-home, a stock's monthly returns are regressed on a factor over 60 months, but one month shows a data error of +250%. Compare the slope with and without it, winsorising at the 1st and 99th percentiles against deleting, and choose.Signal research and data tasksCoreBalyasny Asset ManagementNew York · 2024
  7. 016A book has a Sharpe ratio of 1.0. A candidate strategy has a Sharpe of 0.8 and correlation 0.3 with the book. What is the Sharpe of the best combination, and does the weaker strategy earn a place?Strategy evaluation and backtestsCoreSystematic hedge fundsQuant research
  8. 018Pitch a 10-year trade: size a DV01-neutral 2s10s steepener against Rs 100 crore of 2-year bonds, with DV01s of Rs 1,900 and Rs 7,000 per crore, and compute the P&L if the curve steepens 20 bps with a 10 bps parallel rise.Fixed income and creditCoreBank of AmericaLondon · 2025
  9. 019A signal's slope is 0.12 with an OLS standard error of 0.05, a t of 2.4, but the heteroskedasticity-robust standard error is 0.08. Recompute significance, say which to trust, and explain why the errors grow in volatile months.Regression and model reviewCoreQuant researchSystematic hedge funds
  10. 023An options book shows delta 2,000 shares, gamma 300 shares per rupee, vega Rs 2 lakh per vol point and theta minus Rs 1.5 lakh a day. The stock rises Rs 4 and implied volatility rises 1 point; reported P&L is Rs 1 lakh. Attribute the P&L and size the unexplained residual.Options and volatility tradingCoreOptions market makingRisk quant

Company names and figures are illustrative.