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 31–40 of 57 · filtered from 100Clear filters
  1. 053A Rs 40 stock trades with a 5 paise tick, a one-tick spread and deep queues. If the tick is cut to 1 paise, what happens to the spread, to displayed depth, and to the value of queue priority for a passive strategy?Execution and market microstructureCoreExecution and microstructureOptions market making
  2. 056A stock's one-month at-the-money implied volatility is 32% and its three-month is 24%, with results due in two weeks. Back out the move the options imply for the results day, and decide whether the event is priced rich.Options and volatility tradingCoreOptions market makingQuant trading
  3. 058A long-short pair uses stock A (beta 1.2, size exposure 0.5) and stock B (beta 0.8, size exposure -0.3) on Rs 10 crore of gross exposure. Find market-neutral weights, then show what it costs to neutralise size as well with an index future.Portfolio constructionHardPortfolio constructionSystematic hedge funds
  4. 059A Rs 100 crore book targets 10% annual volatility. The asset's volatility is 25% today against 15% last month. What gross exposure does the target imply now and then, and what happens if volatility spikes to 40%?Position sizing and bankrollWarm upSystematic hedge fundsRisk quant
  5. 060A fund holds Rs 80 crore of a mid-cap that trades Rs 8 crore a day, and its normal one-day VaR is Rs 3 crore. Add the cost of exiting at 20% of daily volume, with a 60 bps spread and square-root impact, and restate the risk.Risk measurement and limitsHardRisk quantExecution and microstructure
  6. 063A small-cap backtest built on today's index members returns 22% a year over ten years. Over that period 30% of the original universe was delisted, with an average return of -60% in the year before delisting. Estimate the survivorship bias.Strategy evaluation and backtestsCoreSystematic hedge fundsQuant research
  7. 064A market maker quotes a stock with a 5 paise spread, earning 2.5 paise per filled share plus a 0.2 paise exchange rebate, but 40% of fills are followed by a 5 paise adverse move. What does it net per share, and at what share of toxic fills does it break even?Execution and market microstructureCoreExecution and microstructureOptions market making
  8. 066A 3-year bond yields 7.2% while the 2-year yields 6.8%, and the desk funds positions at 6.5%. What does holding the 3-year for a year earn in carry plus roll-down, in basis points, and what yield rise would wipe it out?Fixed income and creditCoreFixed income quantQuant trading
  9. 068An analyst adds 12 macro variables to a 3-variable return model estimated on 120 months, and R-squared rises from 8% to 17%. Compute adjusted R-squared before and after and an F-test on the added block. Did the twelve add anything?Regression and model reviewWarm upQuant researchSystematic hedge funds
  10. 069An endowment can mix a risky portfolio with 8% expected excess return and 16% volatility with cash. It wants 10% volatility. What allocation does it hold, and what excess return should it expect?Portfolio constructionWarm upPortfolio constructionSystematic hedge funds

Company names and figures are illustrative.