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 11–20 of 30 · filtered from 100Clear filters
  1. 031Three assets return 6%, 9% and 12% with volatilities of 8%, 15% and 25%. Long only, at most 50% in any one, target volatility 12%. Write the optimisation problem and find approximate weights.Portfolio constructionHardBlackRockNew York · 2025
  2. 039A market maker's quotes update 200 microseconds after the index future moves. Faster traders pick off 30% of its stale quotes over 50 moves a day, each costing 3 ticks of 5 paise on 500 shares. What does latency cost a year, and is a Rs 2 crore co-location upgrade worth it?Execution and market microstructureHardExecution and microstructureOptions market making
  3. 041A company's 5-year bond trades 450 bps over government with 40% recovery assumed, while a structural model on its equity implies a 3% annual default probability. Back out the market-implied default rate, compare the two, and say which instrument looks mispriced.Fixed income and creditHardFixed income quantQuant research
  4. 046The near-month index future is at 22,150 and the next month at 22,280, 28 days apart, with funding at 6.8% and a dividend yield of 1.2%. Is the calendar roll rich or cheap, and what does the roll trader do?Statistical arbitrage and event tradesHardSystematic hedge fundsQuant trading
  5. 047You track the hedge ratio between two cement stocks with a Kalman filter: prior beta 1.00 with variance 0.04, process noise 0.001 a day, and a new observation implying 1.20 with noise variance 0.02. Run two updates and explain the gain.Regression and model reviewHardQuant researchQuant trading
  6. 050Three players are each dealt one card from 1 to 10 without repeats, and the contract settles at the highest card. You hold a 7. Price it, then reprice after another player immediately bids 8.5.Market-making gamesHardBelvedere TradingChicago · 2022
  7. 058A long-short pair uses stock A (beta 1.2, size exposure 0.5) and stock B (beta 0.8, size exposure -0.3) on Rs 10 crore of gross exposure. Find market-neutral weights, then show what it costs to neutralise size as well with an index future.Portfolio constructionHardPortfolio constructionSystematic hedge funds
  8. 060A fund holds Rs 80 crore of a mid-cap that trades Rs 8 crore a day, and its normal one-day VaR is Rs 3 crore. Add the cost of exiting at 20% of daily volume, with a 60 bps spread and square-root impact, and restate the risk.Risk measurement and limitsHardRisk quantExecution and microstructure
  9. 062A bag holds four stones, each black or white, with every count of black stones from 0 to 4 equally likely. Two stones drawn without replacement are both black. Make a market on a contract paying Rs 100 if the third stone is black, then respond when the interviewer lifts your offer at 80.Market-making gamesHardCitadelNew York · 2025
  10. 067One-month implied volatility on an index is 30% and your desk forecasts 22% realised. You sell a delta-hedged at-the-money straddle on Rs 10 crore notional. Estimate the expected profit from the gamma-theta relationship, the result if realised volatility is 35% instead, and what can go wrong between hedges.Options and volatility tradingHardOld Mission CapitalChicago · 2025

Company names and figures are illustrative.