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 41–50 of 100
  1. 041A company's 5-year bond trades 450 bps over government with 40% recovery assumed, while a structural model on its equity implies a 3% annual default probability. Back out the market-implied default rate, compare the two, and say which instrument looks mispriced.Fixed income and creditHardFixed income quantQuant research
  2. 042A manager runs a 3% tracking-error budget with equal active positions in five stocks, each with 30% idiosyncratic volatility and uncorrelated. How large can each active weight be?Portfolio constructionWarm upPortfolio constructionSystematic hedge funds
  3. 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
  4. 044A book holds Rs 100 crore of equities on Rs 25 crore of capital with a 15% maintenance margin. What fall triggers a margin call, and what daily volatility would make that a one-in-twenty-day event?Risk measurement and limitsCoreRisk quantSystematic hedge funds
  5. 045A trader with Rs 50 lakh of risk capital stakes 5% of current capital per trade at a 52% win rate with even payoffs; the desk stops her at a 30% drawdown. How likely is the stop, and what changes at 2%?Position sizing and bankrollCoreProp trading firmsQuant trading
  6. 046The near-month index future is at 22,150 and the next month at 22,280, 28 days apart, with funding at 6.8% and a dividend yield of 1.2%. Is the calendar roll rich or cheap, and what does the roll trader do?Statistical arbitrage and event tradesHardSystematic hedge fundsQuant trading
  7. 047You track the hedge ratio between two cement stocks with a Kalman filter: prior beta 1.00 with variance 0.04, process noise 0.001 a day, and a new observation implying 1.20 with noise variance 0.02. Run two updates and explain the gain.Regression and model reviewHardQuant researchQuant trading
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.