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 100
  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. 022A one-day tick file has 2% of rows at price zero, 5% duplicated timestamps and one print of 8,120 between prints of 812. Identify each error, fix it, and show how each would distort daily realised volatility.Signal research and data tasksWarm upHudson River TradingAnonymous interview candidate in · 2024
  3. 023An options book shows delta 2,000 shares, gamma 300 shares per rupee, vega Rs 2 lakh per vol point and theta minus Rs 1.5 lakh a day. The stock rises Rs 4 and implied volatility rises 1 point; reported P&L is Rs 1 lakh. Attribute the P&L and size the unexplained residual.Options and volatility tradingCoreOptions market makingRisk quant
  4. 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
  5. 025Build a risk-parity mix of equities (volatility 18%), bonds (6%) and gold (15%) ignoring correlations: the inverse-volatility weights, the portfolio volatility at zero correlation, and the leverage needed to reach 10% volatility.Portfolio constructionCorePortfolio constructionSystematic hedge funds
  6. 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
  7. 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
  8. 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
  9. 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
  10. 030A 20-year bond has duration 13 and convexity 220. Estimate its price change for yield moves of plus and minus 150 basis points with duration alone and with convexity, and say which error hurts someone who is short the bond.Fixed income and creditWarm upFixed income quantRisk quant

Company names and figures are illustrative.