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 1–2 of 2 · filtered from 100Clear filters
  1. 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
  2. 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

Company names and figures are illustrative.