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 21–30 of 50 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 048Make a market on the product of two dice. The fair value is 12.25 with a standard deviation near 8.9 and a long right tail. How wide are you for one lot and for ten, and which way do you lean?Market-making gamesCoreCitadelNew York · 2025
  4. 049An importer expects USD/INR to rise from 83.0 to about 84.5 in three months but not beyond 86. Compare a forward, a call struck at 84 and an 84/86 call spread on cost and payoff, and choose a structure.Options and volatility tradingCoreGoldman SachsLondon · 2025
  5. 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
  6. 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
  7. 054Your model of daily stock returns has an out-of-sample R-squared of 0.4%. A senior researcher asks whether that is useless. Convert it to a correlation and to a rough annual Sharpe ratio for a strategy trading it across 300 stocks.Signal research and data tasksCoreSquarepoint CapitalParis · 2025
  8. 055A lender's 12,000 personal loans sit in four score buckets with 30 defaults of 4,000, 60 of 4,000, 90 of 2,500 and 150 of 1,500. Compute default rates, 95% intervals and expected loss at 60% loss given default, and say whether the buckets are well ordered.Fixed income and creditCoreJane StreetLondon · 2025
  9. 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
  10. 057A factor model of monthly returns shows a Durbin-Watson of 0.9, residual variance rising with market volatility (Breusch-Pagan p = 0.01) and variance inflation factors of 12 on two value factors. Which assumption does each break, what happens to the coefficients and t-statistics, and what is the fix?Regression and model reviewCoreCitadelLondon · 2026

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