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

Company names and figures are illustrative.