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 50 · filtered from 100Clear filters
  1. 024You are long 10 contracts on the number of sixes in 30 dice, bought at an average of 5.2 at Rs 100 a point, when the interviewer reveals that none of the first 12 dice shows a six. Reprice, mark your P&L and decide whether to cut.Market-making gamesCoreOptiverAmsterdam · 2023
  2. 025Build a risk-parity mix of equities (volatility 18%), bonds (6%) and gold (15%) ignoring correlations: the inverse-volatility weights, the portfolio volatility at zero correlation, and the leverage needed to reach 10% volatility.Portfolio constructionCorePortfolio constructionSystematic hedge funds
  3. 026You and three computer quoters make markets on the sum of five cards drawn from one suit numbered 1 to 13. Each bot has seen one card and its mid is 37, 33 or 39. What did each bot see, and where do you quote?Market-making gamesCoreOptiverChicago · 2025
  4. 032A strategy has a Sharpe ratio of 1.0 at 12% volatility and a worst drawdown of 8% in two years live. What drawdown should investors expect over ten years, and is a 20% fall in year three evidence it is broken?Strategy evaluation and backtestsCoreSystematic hedge fundsRisk quant
  5. 033Given twenty days of desk P and L that include one very large loss, compute the 95% historical VaR, the normal VaR and the expected shortfall, and say which the risk committee should see.Risk measurement and limitsCoreBlackRockNew York · 2026
  6. 034A strategy has expected excess return of 8% and volatility of 16% a year. What is the full-Kelly leverage, what growth do full and half Kelly give, and what gross exposure would you run on Rs 200 crore?Position sizing and bankrollCoreSystematic hedge fundsQuant trading
  7. 036A stock's 36-month rolling beta has ranged from 0.7 to 1.5 and its 12-month rolling beta from 0.3 to 2.1. How much of that is estimation noise, how would you test for genuine change, and which window would you use?Regression and model reviewCoreQuant researchRisk quant
  8. 038You are short 1,000 calls struck at 500 on a stock at 500.2, thirty minutes before expiry, hedged with 500 shares. What is your exposure after uncertain exercise, and would you close the position?Options and volatility tradingCoreOptions market makingRisk quant
  9. 040Daily card-spend data covers 8% of transactions for 60 listed retailers and arrives with a 3-day lag; results come out 45 days after quarter end. How long is the information window, and how precise can the estimate be?Signal research and data tasksCoreQuant researchSystematic hedge funds
  10. 043Two strategies: momentum with monthly mean 1.0%, standard deviation 5%, skew -1.2 and a 35% worst drawdown; mean reversion with 0.7%, 2.5%, skew -2.0 and 18%. Where does each return come from, which earns more per unit of risk, and which is more dangerous?Strategy evaluation and backtestsCoreSusquehanna International GroupPhiladelphia · 2025

Company names and figures are illustrative.