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 21–30 of 30 · filtered from 100Clear filters
  1. 070A desk has two even-money bets, each winning 55% of the time. Size them with Kelly alone, then jointly when they are independent, and then when their outcomes have correlation 0.5.Position sizing and bankrollHardSystematic hedge fundsQuant trading
  2. 071A desk's stress loss hits Rs 42 crore against a Rs 40 crore limit after a volatility spike. Compare cutting positions, buying index puts at a 2.5% premium, and asking for a temporary limit increase, with numbers on each.Risk measurement and limitsHardRisk quantOptions market making
  3. 075A contract settles at the sum of three cards drawn without replacement from ten cards numbered 1 to 10, at Rs 100 a point. Quote a two-way market before any card, after the first card shows 9, and after the second shows 2, keeping pace with the dealer.Market-making gamesHardOptiverChicago · 2026
  4. 078In a six-hour data task, a feature predicts next-day returns across 400 stocks with an average daily information coefficient of 0.02 and a standard deviation of 0.08 over 750 days. Is it real, what information ratio should you expect, and what do you check before presenting?Signal research and data tasksHardSquarepoint CapitalParis · 2025
  5. 081Palashvan reports a monthly Sharpe ratio of 0.35, annualised to 1.21 with the square root of 12, but its monthly returns have a lag-one autocorrelation of 0.4 because illiquid positions are marked slowly. What is the corrected annual Sharpe, and what does the smoothing hide?Strategy evaluation and backtestsHardSystematic hedge fundsRisk quant
  6. 090Sthiram's two assets have expected returns of 8% and 8.5%, volatilities of 15% and 16%, and correlation 0.9. Show how a half-point change in one expected return swings the mean-variance weights, and propose a fix.Portfolio constructionHardPortfolio constructionQuant research
  7. 091A company's five-year CDS trades at 300 bps while its bond trades 360 bps over the swap curve. How do you construct the basis trade, what does it carry, and what can make it lose?Fixed income and creditHardFixed income quantQuant research
  8. 096Stambhika joins the bid at Rs 250.00 behind 40,000 shares with a 10,000 share buy order. Fills arrive at 2,000 shares a minute, and 60% of the selling that reaches the bid comes just before a 5 paise drop. How long until you fill, what is the chance the price moves first, and what is the adverse selection per fill worth?Execution and market microstructureHardTower Research CapitalNew York · 2020
  9. 097Vairagi's 99% one-day VaR was exceeded 8 times in 250 days, against 2.5 expected. Is the model wrong? Use the binomial distribution and the traffic-light idea to decide.Risk measurement and limitsHardRisk quantQuant research
  10. 099At Tessorin, a random forest on 50 features scores a training R-squared of 35% and a test R-squared of -0.8% on daily returns, while a three-feature ridge model scores 0.6% and 0.4%. Explain the gap, choose a model, and say how you would set the number of trees and the depth.Signal research and data tasksHardTower Research CapitalPrinceton · 2018

Company names and figures are illustrative.