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 30 · filtered from 100Clear filters
  1. 002An index's 25-delta put trades at 28% implied volatility, the 25-delta call at 20% and at-the-money at 23%. Price a zero-cost risk reversal, explain what the skew is paying for, and say who is on the other side.Options and volatility tradingHardOptions market makingQuant trading
  2. 003You make a market in a coin-flip contract paying Rs 100 on heads. One trade in four is the interviewer, who knows the outcome and trades only when it helps; the rest is balanced. What is the narrowest breakeven spread, and what does quoting 45 at 55 cost over 40 trades?Market-making gamesHardCitadel SecuritiesLondon · 2026
  3. 005A backtest shows 18% gross return at 9% volatility, turning the book over 60 times a year at an assumed 5 bps a side. Live, costs are 14 bps a side and only 70% of signals fill. Reconcile the backtest Sharpe with a live Sharpe near zero and decide what to fix first.Strategy evaluation and backtestsHardJump TradingChicago · 2018
  4. 011A signal wins 56% of 200 even-payoff trades. What is the Kelly stake on the point estimate, what is the 95% interval for the win rate, and what stake would you actually run?Position sizing and bankrollHardQuant tradingSystematic hedge funds
  5. 013An equally weighted index of ten stocks has implied volatility 18% while each member's implied is 30%. Compute the implied correlation and the sign of P&L for selling index volatility and buying member volatility if realised correlation is 0.25.Options and volatility tradingHardOptions market makingQuant research
  6. 014A contract settles at a die roll, doubled if a coin lands heads, plus 5 if a drawn card is red. Quote it, then decide whether to trade with a bot showing 9.5 bid, 10.5 offer, and whether to make or take.Market-making gamesHardOptiverAustin · 2025
  7. 017A strategy earns 25 bps gross per trade in stocks with Rs 40 crore daily volume and 2% daily volatility, with impact equal to volatility times the square root of participation. Compare running it with Rs 10 crore and with Rs 1,000 crore.Execution and market microstructureHardScotiabankToronto · 2025
  8. 021Two bank stocks have 0.92 daily return correlation but their price ratio drifted from 1.0 to 1.6 over three years; a second pair has 0.55 correlation but a stationary spread with an ADF p-value of 0.01. Which pair do you trade?Statistical arbitrage and event tradesHardSystematic hedge fundsQuant research
  9. 027A desk holds a variance swap struck at 25 volatility on Rs 1 crore vega notional. What does it pay if realised volatility is 35 or 15, and why is a delta-hedged straddle not the same trade?Options and volatility tradingHardOptions market makingQuant research
  10. 029A social media sentiment signal on 150 consumer stocks goes long the top decile and short the bottom, with a 53% hit rate on two-day holds and an average move of 1.2%. Costs are 15 basis points a side and capacity is capped at 1% of daily volume. Is there a business, and how big?Signal research and data tasksHardTwo SigmaNew York · 2024

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