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
Showing 1–4 of 4 · filtered from 100Clear filters
- 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 microstructureQuant trading
- 053A Rs 40 stock trades with a 5 paise tick, a one-tick spread and deep queues. If the tick is cut to 1 paise, what happens to the spread, to displayed depth, and to the value of queue priority for a passive strategy?Execution and microstructureOptions market making
- 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 microstructureOptions market making
- 085Arohavi decided to buy 1 lakh shares at Rs 500. The order reached the market at Rs 502, 80% filled at an average of Rs 506, and the stock closed at Rs 515 with the rest unfilled. Decompose the implementation shortfall into delay, execution and opportunity costs.Execution and microstructureSystematic hedge funds
Company names and figures are illustrative.