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 17 · 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. 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
  3. 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
  4. 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
  5. 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
  6. 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
  7. 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
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.