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 31–40 of 50 · filtered from 100Clear filters
  1. 061An acquirer offers Rs 400 cash per share for a target trading at Rs 370. If the deal breaks the target falls to Rs 300, and closing is six months away. What completion probability does the price imply, what is the annualised return if it closes, and how does the trade change if the offer is 0.8 acquirer shares instead?Statistical arbitrage and event tradesCoreAQR Capital ManagementGreenwich · 2021
  2. 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
  3. 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
  4. 065You are asked to build a model of monthly rents for 5,000 Mumbai flats from carpet area, floor, distance to the nearest station and building age. Choose the target, the features and the validation scheme, and interpret a coefficient of 0.9 on log area.Signal research and data tasksCoreTwo SigmaNew York · 2025
  5. 066A 3-year bond yields 7.2% while the 2-year yields 6.8%, and the desk funds positions at 6.5%. What does holding the 3-year for a year earn in carry plus roll-down, in basis points, and what yield rise would wipe it out?Fixed income and creditCoreFixed income quantQuant trading
  6. 073You are making a market on the number of sixes in twelve dice. After you quote, six of the dice are revealed and exactly one of them is a six. Reprice, and explain what happens to your width even though the fair value does not move.Market-making gamesCoreQuant tradingOptions market making
  7. 074A book has a mean daily P&L of Rs 2 lakh with a daily standard deviation of Rs 10 lakh. Give 95% intervals for tomorrow's P&L, for the average daily P&L over the next 250 days, and for the year's total.Strategy evaluation and backtestsCoreOld Mission CapitalChicago · 2025
  8. 076Samudrika is long Rs 300 crore of equities and short Rs 150 crore of bond futures with duration 7 as a hedge. What is the P&L in a flight to quality and in a correlation breakdown, and what does the stress test say about the hedge?Risk measurement and limitsCoreRisk quantFixed income quant
  9. 077Make a market on the number of cars parked at a large suburban mall at 1 pm on Saturday: four levels of about 250 bays, occupancy somewhere between 70% and 90%. Then the interviewer sells to your bid three times in a row. How do you quote, and how do you update?Market-making gamesCoreDRWChicago · 2025
  10. 079Dhruvika's Rs 1,000 crore portfolio is 60% equity and 40% bonds. Equities rise 30% and bonds are flat. How far has it drifted, what trade restores it and what does that cost at 10 bps, and should the fund rebalance on a calendar or a threshold?Portfolio constructionCorePortfolio constructionSystematic hedge funds

Company names and figures are illustrative.