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 43 · filtered from 100Clear filters
  1. 024You are long 10 contracts on the number of sixes in 30 dice, bought at an average of 5.2 at Rs 100 a point, when the interviewer reveals that none of the first 12 dice shows a six. Reprice, mark your P&L and decide whether to cut.Market-making gamesCoreOptiverAmsterdam · 2023
  2. 026You and three computer quoters make markets on the sum of five cards drawn from one suit numbered 1 to 13. Each bot has seen one card and its mid is 37, 33 or 39. What did each bot see, and where do you quote?Market-making gamesCoreOptiverChicago · 2025
  3. 028The offers are 5,000 shares at 100.10, 8,000 at 100.20 and 12,000 at 100.35 around a mid of 100.00. You must buy 20,000 shares now. What is your average price and your impact against mid?Execution and market microstructureWarm upMizuhoHong Kong · 2024
  4. 029A social media sentiment signal on 150 consumer stocks goes long the top decile and short the bottom, with a 53% hit rate on two-day holds and an average move of 1.2%. Costs are 15 basis points a side and capacity is capped at 1% of daily volume. Is there a business, and how big?Signal research and data tasksHardTwo SigmaNew York · 2024
  5. 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
  6. 033Given twenty days of desk P and L that include one very large loss, compute the 95% historical VaR, the normal VaR and the expected shortfall, and say which the risk committee should see.Risk measurement and limitsCoreBlackRockNew York · 2026
  7. 037In a market on the sum of two dice you sell 3 to interviewer A at 7.5, buy 2 from B at 6.5, sell 4 to A at 7.2 and buy 4 from B at 7.0, at Rs 100 a point. Where is your position, and what is your P and L if it settles at 8?Market-making gamesWarm upOptiverAmsterdam · 2023
  8. 043Two strategies: momentum with monthly mean 1.0%, standard deviation 5%, skew -1.2 and a 35% worst drawdown; mean reversion with 0.7%, 2.5%, skew -2.0 and 18%. Where does each return come from, which earns more per unit of risk, and which is more dangerous?Strategy evaluation and backtestsCoreSusquehanna International GroupPhiladelphia · 2025
  9. 048Make a market on the product of two dice. The fair value is 12.25 with a standard deviation near 8.9 and a long right tail. How wide are you for one lot and for ten, and which way do you lean?Market-making gamesCoreCitadelNew York · 2025
  10. 049An importer expects USD/INR to rise from 83.0 to about 84.5 in three months but not beyond 86. Compare a forward, a call struck at 84 and an 84/86 call spread on cost and payoff, and choose a structure.Options and volatility tradingCoreGoldman SachsLondon · 2025

Company names and figures are illustrative.