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 57 · filtered from 100Clear filters
  1. 070A desk has two even-money bets, each winning 55% of the time. Size them with Kelly alone, then jointly when they are independent, and then when their outcomes have correlation 0.5.Position sizing and bankrollHardSystematic hedge fundsQuant trading
  2. 071A desk's stress loss hits Rs 42 crore against a Rs 40 crore limit after a volatility spike. Compare cutting positions, buying index puts at a 2.5% premium, and asking for a temporary limit increase, with numbers on each.Risk measurement and limitsHardRisk quantOptions market making
  3. 072A stock will join a benchmark tracked by Rs 20,000 crore of passive money at a 0.8% weight, and it trades Rs 60 crore a day. Estimate the passive demand in days of volume and the likely price pressure around the effective date.Statistical arbitrage and event tradesWarm upSystematic hedge fundsExecution and microstructure
  4. 073You are making a market on the number of sixes in twelve dice. After you quote, six of the dice are revealed and exactly one of them is a six. Reprice, and explain what happens to your width even though the fair value does not move.Market-making gamesCoreQuant tradingOptions market making
  5. 076Samudrika is long Rs 300 crore of equities and short Rs 150 crore of bond futures with duration 7 as a hedge. What is the P&L in a flight to quality and in a correlation breakdown, and what does the stress test say about the hedge?Risk measurement and limitsCoreRisk quantFixed income quant
  6. 079Dhruvika's Rs 1,000 crore portfolio is 60% equity and 40% bonds. Equities rise 30% and bonds are flat. How far has it drifted, what trade restores it and what does that cost at 10 bps, and should the fund rebalance on a calendar or a threshold?Portfolio constructionCorePortfolio constructionSystematic hedge funds
  7. 081Palashvan reports a monthly Sharpe ratio of 0.35, annualised to 1.21 with the square root of 12, but its monthly returns have a lag-one autocorrelation of 0.4 because illiquid positions are marked slowly. What is the corrected annual Sharpe, and what does the smoothing hide?Strategy evaluation and backtestsHardSystematic hedge fundsRisk quant
  8. 082Kovidam Steel trades at Rs 1,000 and its 30-day future at Rs 1,012. Funding costs 7% a year and no dividend is due. What is the fair futures price, what is the arbitrage, and what does it earn a year?Statistical arbitrage and event tradesWarm upSystematic hedge fundsQuant trading
  9. 085Arohavi decided to buy 1 lakh shares at Rs 500. The order reached the market at Rs 502, 80% filled at an average of Rs 506, and the stock closed at Rs 515 with the rest unfilled. Decompose the implementation shortfall into delay, execution and opportunity costs.Execution and market microstructureCoreExecution and microstructureSystematic hedge funds
  10. 086Tamrisk's market-making book has a one-day 99% VaR budget of Rs 30 lakh, and the contract moves with a daily standard deviation of Rs 1,500 per lot. What is the maximum inventory, and how should the quotes skew as inventory approaches it?Position sizing and bankrollCoreOptions market makingRisk quant

Company names and figures are illustrative.