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. 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
  2. 061An acquirer offers Rs 400 cash per share for a target trading at Rs 370. If the deal breaks the target falls to Rs 300, and closing is six months away. What completion probability does the price imply, what is the annualised return if it closes, and how does the trade change if the offer is 0.8 acquirer shares instead?Statistical arbitrage and event tradesCoreAQR Capital ManagementGreenwich · 2021
  3. 093Analyse a pairs trade in Varnika Paints and Chitrangi Coatings: hedge ratio 1.2, spread z-score 2.3, half-life 12 days, spread standard deviation Rs 8. What are the expected profit, the holding time and a stop level, and what would break the relationship?Statistical arbitrage and event tradesCoreSchonfeldNew York · 2021

Company names and figures are illustrative.