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 43 · filtered from 100Clear filters
  1. 075A contract settles at the sum of three cards drawn without replacement from ten cards numbered 1 to 10, at Rs 100 a point. Quote a two-way market before any card, after the first card shows 9, and after the second shows 2, keeping pace with the dealer.Market-making gamesHardOptiverChicago · 2026
  2. 077Make a market on the number of cars parked at a large suburban mall at 1 pm on Saturday: four levels of about 250 bays, occupancy somewhere between 70% and 90%. Then the interviewer sells to your bid three times in a row. How do you quote, and how do you update?Market-making gamesCoreDRWChicago · 2025
  3. 078In a six-hour data task, a feature predicts next-day returns across 400 stocks with an average daily information coefficient of 0.02 and a standard deviation of 0.08 over 750 days. Is it real, what information ratio should you expect, and what do you check before presenting?Signal research and data tasksHardSquarepoint CapitalParis · 2025
  4. 080Lending case: Sonvarsha Castings wants a Rs 120 crore loan. Probability of default is 2.5% a year, loss given default 45%, EBITDA Rs 60 crore, total debt Rs 180 crore and interest cover 2.4. What is the expected loss, what spread covers it plus a 1.5% cost of capital, and would you lend?Fixed income and creditCoreDeutsche BankNew York · 2024
  5. 083A customer buys 500 one-month at-the-money index calls from Mayurika at Rs 12 (delta 0.5, gamma 0.013 per rupee, vega Rs 1.1 per vol point, per unit of index). Mayurika hedges the delta; then the index jumps Rs 10 and implied volatility rises 2 points. What is the P&L, and what is the new hedge?Options and volatility tradingCoreOld Mission CapitalChicago · 2020
  6. 084Regressed on the market alone, Suryamandal's fund shows alpha of 0.8% a month (t = 2.9). Adding size and value factors gives alpha of 0.35% (t = 1.4), with loadings of 0.95 on the market, 0.6 on size and 0.4 on value. Where did the alpha go, and what does the fund really deliver?Regression and model reviewCoreState StreetCambridge · 2019
  7. 088The interviewer asks for a market on the maximum of four fair dice, then lifts your offer twice in a row at 5.4. What is the contract worth, how wide should the market be given its skewed distribution, and how do you requote?Market-making gamesCoreOptiverSan Francisco · 2026
  8. 089Parvanta asks you to design the train, validation and test split for eight years of daily data with 20-day forward-return labels. How many days must be purged and embargoed around each boundary, and how many walk-forward folds with one-year test windows remain?Signal research and data tasksCoreOptiverSan Francisco · 2026
  9. 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
  10. 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

Company names and figures are illustrative.