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 91–100 of 100
  1. 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
  2. 092Kadvari's signal uses each day's closing price to trigger a trade executed at that same close. Re-run with execution at the next open and the annual return falls from 15% to 4%. Where did the 11 points go, and how do you fix the timing?Strategy evaluation and backtestsWarm upSystematic hedge fundsQuant research
  3. 093Analyse a pairs trade in Varnika Paints and Chitrangi Coatings: hedge ratio 1.2, spread z-score 2.3, half-life 12 days, spread standard deviation Rs 8. What are the expected profit, the holding time and a stop level, and what would break the relationship?Statistical arbitrage and event tradesCoreSchonfeldNew York · 2021
  4. 094Bhavantar is long 100 at-the-money straddles with total gamma of 40 shares per rupee. The stock moves 1,000, 1,010, 1,000, 990, 1,000 during the day, theta costs Rs 3,000, and the desk re-hedges at each step. What is the net P&L?Options and volatility tradingWarm upOptions market makingQuant trading
  5. 095Read a regression output: Kalindor Motors' monthly returns on the market over 60 months give beta 1.35 (standard error 0.15), alpha 0.2% a month (standard error 0.4%) and R-squared 0.58. Does beta differ from 1, what is its 95% interval, and what do you make of alpha?Regression and model reviewWarm upWolverine TradingChicago · 2016
  6. 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
  7. 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
  8. 098Corvinta runs two markets on the same pair of dice: A settles at their sum and B at the first die minus the second. Another player quotes A at 6.5 bid, 7.5 offer and B at -0.5 bid, 0.5 offer. The first die is revealed as 5. Update both fair values and find the trades.Market-making gamesCoreCitadelLondon · 2026
  9. 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
  10. 100Vindhavan's two assets have equilibrium expected returns of 6% and 7%. A manager believes A will beat B by 3% and holds that view with 50% confidence. In a simple two-asset Black-Litterman setting, how do the blended expected returns move, and what happens to the weights?Portfolio constructionCorePortfolio constructionQuant research

Company names and figures are illustrative.