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 23 · filtered from 100Clear filters
  1. 001A dataset of one-minute order-flow imbalance against next-minute futures returns gives a slope of 0.8 bps per unit, a t-statistic of 12 and an R-squared of 1.5%, with a 3 bp spread. Is the signal tradeable?Signal research and data tasksCoreHudson River TradingAnonymous interview candidate in · 2024
  2. 012In a take-home, a stock's monthly returns are regressed on a factor over 60 months, but one month shows a data error of +250%. Compare the slope with and without it, winsorising at the 1st and 99th percentiles against deleting, and choose.Signal research and data tasksCoreBalyasny Asset ManagementNew York · 2024
  3. 018Pitch a 10-year trade: size a DV01-neutral 2s10s steepener against Rs 100 crore of 2-year bonds, with DV01s of Rs 1,900 and Rs 7,000 per crore, and compute the P&L if the curve steepens 20 bps with a 10 bps parallel rise.Fixed income and creditCoreBank of AmericaLondon · 2025
  4. 024You are long 10 contracts on the number of sixes in 30 dice, bought at an average of 5.2 at Rs 100 a point, when the interviewer reveals that none of the first 12 dice shows a six. Reprice, mark your P&L and decide whether to cut.Market-making gamesCoreOptiverAmsterdam · 2023
  5. 026You and three computer quoters make markets on the sum of five cards drawn from one suit numbered 1 to 13. Each bot has seen one card and its mid is 37, 33 or 39. What did each bot see, and where do you quote?Market-making gamesCoreOptiverChicago · 2025
  6. 033Given twenty days of desk P and L that include one very large loss, compute the 95% historical VaR, the normal VaR and the expected shortfall, and say which the risk committee should see.Risk measurement and limitsCoreBlackRockNew York · 2026
  7. 043Two strategies: momentum with monthly mean 1.0%, standard deviation 5%, skew -1.2 and a 35% worst drawdown; mean reversion with 0.7%, 2.5%, skew -2.0 and 18%. Where does each return come from, which earns more per unit of risk, and which is more dangerous?Strategy evaluation and backtestsCoreSusquehanna International GroupPhiladelphia · 2025
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.