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 27 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 044A book holds Rs 100 crore of equities on Rs 25 crore of capital with a 15% maintenance margin. What fall triggers a margin call, and what daily volatility would make that a one-in-twenty-day event?Risk measurement and limitsCoreRisk quantSystematic hedge funds
  5. 045A trader with Rs 50 lakh of risk capital stakes 5% of current capital per trade at a 52% win rate with even payoffs; the desk stops her at a 30% drawdown. How likely is the stop, and what changes at 2%?Position sizing and bankrollCoreProp trading firmsQuant trading
  6. 052A signal has an information coefficient of 0.06 at one day, 0.045 at five days and 0.03 at twenty days. Cross-sectional daily volatility is 2% and a full rebalance costs 20 bps round trip. Should you rebalance daily or weekly?Strategy evaluation and backtestsCoreSystematic hedge fundsQuant research
  7. 053A Rs 40 stock trades with a 5 paise tick, a one-tick spread and deep queues. If the tick is cut to 1 paise, what happens to the spread, to displayed depth, and to the value of queue priority for a passive strategy?Execution and market microstructureCoreExecution and microstructureOptions market making
  8. 056A stock's one-month at-the-money implied volatility is 32% and its three-month is 24%, with results due in two weeks. Back out the move the options imply for the results day, and decide whether the event is priced rich.Options and volatility tradingCoreOptions market makingQuant trading
  9. 063A small-cap backtest built on today's index members returns 22% a year over ten years. Over that period 30% of the original universe was delisted, with an average return of -60% in the year before delisting. Estimate the survivorship bias.Strategy evaluation and backtestsCoreSystematic hedge fundsQuant research
  10. 064A market maker quotes a stock with a 5 paise spread, earning 2.5 paise per filled share plus a 0.2 paise exchange rebate, but 40% of fills are followed by a 5 paise adverse move. What does it net per share, and at what share of toxic fills does it break even?Execution and market microstructureCoreExecution and microstructureOptions market making

Company names and figures are illustrative.