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 43 · filtered from 100Clear filters
  1. 050Three players are each dealt one card from 1 to 10 without repeats, and the contract settles at the highest card. You hold a 7. Price it, then reprice after another player immediately bids 8.5.Market-making gamesHardBelvedere TradingChicago · 2022
  2. 051Five players trade a contract that settles at the sum of ten dice rolled one at a time in public. After four rolls totalling 17, one player bids 38 and another offers 36. What is fair value, and what can you lock in by trading between them?Market-making gamesWarm upDRWNew York · 2026
  3. 054Your model of daily stock returns has an out-of-sample R-squared of 0.4%. A senior researcher asks whether that is useless. Convert it to a correlation and to a rough annual Sharpe ratio for a strategy trading it across 300 stocks.Signal research and data tasksCoreSquarepoint CapitalParis · 2025
  4. 055A lender's 12,000 personal loans sit in four score buckets with 30 defaults of 4,000, 60 of 4,000, 90 of 2,500 and 150 of 1,500. Compute default rates, 95% intervals and expected loss at 60% loss given default, and say whether the buckets are well ordered.Fixed income and creditCoreJane StreetLondon · 2025
  5. 057A factor model of monthly returns shows a Durbin-Watson of 0.9, residual variance rising with market volatility (Breusch-Pagan p = 0.01) and variance inflation factors of 12 on two value factors. Which assumption does each break, what happens to the coefficients and t-statistics, and what is the fix?Regression and model reviewCoreCitadelLondon · 2026
  6. 061An acquirer offers Rs 400 cash per share for a target trading at Rs 370. If the deal breaks the target falls to Rs 300, and closing is six months away. What completion probability does the price imply, what is the annualised return if it closes, and how does the trade change if the offer is 0.8 acquirer shares instead?Statistical arbitrage and event tradesCoreAQR Capital ManagementGreenwich · 2021
  7. 062A bag holds four stones, each black or white, with every count of black stones from 0 to 4 equally likely. Two stones drawn without replacement are both black. Make a market on a contract paying Rs 100 if the third stone is black, then respond when the interviewer lifts your offer at 80.Market-making gamesHardCitadelNew York · 2025
  8. 065You are asked to build a model of monthly rents for 5,000 Mumbai flats from carpet area, floor, distance to the nearest station and building age. Choose the target, the features and the validation scheme, and interpret a coefficient of 0.9 on log area.Signal research and data tasksCoreTwo SigmaNew York · 2025
  9. 067One-month implied volatility on an index is 30% and your desk forecasts 22% realised. You sell a delta-hedged at-the-money straddle on Rs 10 crore notional. Estimate the expected profit from the gamma-theta relationship, the result if realised volatility is 35% instead, and what can go wrong between hedges.Options and volatility tradingHardOld Mission CapitalChicago · 2025
  10. 074A book has a mean daily P&L of Rs 2 lakh with a daily standard deviation of Rs 10 lakh. Give 95% intervals for tomorrow's P&L, for the average daily P&L over the next 250 days, and for the year's total.Strategy evaluation and backtestsCoreOld Mission CapitalChicago · 2025

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