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 27 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.