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 41–43 of 43 · filtered from 100Clear filters
  1. 096Stambhika joins the bid at Rs 250.00 behind 40,000 shares with a 10,000 share buy order. Fills arrive at 2,000 shares a minute, and 60% of the selling that reaches the bid comes just before a 5 paise drop. How long until you fill, what is the chance the price moves first, and what is the adverse selection per fill worth?Execution and market microstructureHardTower Research CapitalNew York · 2020
  2. 098Corvinta runs two markets on the same pair of dice: A settles at their sum and B at the first die minus the second. Another player quotes A at 6.5 bid, 7.5 offer and B at -0.5 bid, 0.5 offer. The first die is revealed as 5. Update both fair values and find the trades.Market-making gamesCoreCitadelLondon · 2026
  3. 099At Tessorin, a random forest on 50 features scores a training R-squared of 35% and a test R-squared of -0.8% on daily returns, while a three-feature ridge model scores 0.6% and 0.4%. Explain the gap, choose a model, and say how you would set the number of trees and the depth.Signal research and data tasksHardTower Research CapitalPrinceton · 2018

Company names and figures are illustrative.