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 1–3 of 3 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 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

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