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 51–60 of 100
  1. 051Five players trade a contract that settles at the sum of ten dice rolled one at a time in public. After four rolls totalling 17, one player bids 38 and another offers 36. What is fair value, and what can you lock in by trading between them?Market-making gamesWarm upDRWNew York · 2026
  2. 052A signal has an information coefficient of 0.06 at one day, 0.045 at five days and 0.03 at twenty days. Cross-sectional daily volatility is 2% and a full rebalance costs 20 bps round trip. Should you rebalance daily or weekly?Strategy evaluation and backtestsCoreSystematic hedge fundsQuant research
  3. 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
  4. 054Your model of daily stock returns has an out-of-sample R-squared of 0.4%. A senior researcher asks whether that is useless. Convert it to a correlation and to a rough annual Sharpe ratio for a strategy trading it across 300 stocks.Signal research and data tasksCoreSquarepoint CapitalParis · 2025
  5. 055A lender's 12,000 personal loans sit in four score buckets with 30 defaults of 4,000, 60 of 4,000, 90 of 2,500 and 150 of 1,500. Compute default rates, 95% intervals and expected loss at 60% loss given default, and say whether the buckets are well ordered.Fixed income and creditCoreJane StreetLondon · 2025
  6. 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
  7. 057A factor model of monthly returns shows a Durbin-Watson of 0.9, residual variance rising with market volatility (Breusch-Pagan p = 0.01) and variance inflation factors of 12 on two value factors. Which assumption does each break, what happens to the coefficients and t-statistics, and what is the fix?Regression and model reviewCoreCitadelLondon · 2026
  8. 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
  9. 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
  10. 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

Company names and figures are illustrative.