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 61–70 of 100
  1. 061An acquirer offers Rs 400 cash per share for a target trading at Rs 370. If the deal breaks the target falls to Rs 300, and closing is six months away. What completion probability does the price imply, what is the annualised return if it closes, and how does the trade change if the offer is 0.8 acquirer shares instead?Statistical arbitrage and event tradesCoreAQR Capital ManagementGreenwich · 2021
  2. 062A bag holds four stones, each black or white, with every count of black stones from 0 to 4 equally likely. Two stones drawn without replacement are both black. Make a market on a contract paying Rs 100 if the third stone is black, then respond when the interviewer lifts your offer at 80.Market-making gamesHardCitadelNew York · 2025
  3. 063A small-cap backtest built on today's index members returns 22% a year over ten years. Over that period 30% of the original universe was delisted, with an average return of -60% in the year before delisting. Estimate the survivorship bias.Strategy evaluation and backtestsCoreSystematic hedge fundsQuant research
  4. 064A market maker quotes a stock with a 5 paise spread, earning 2.5 paise per filled share plus a 0.2 paise exchange rebate, but 40% of fills are followed by a 5 paise adverse move. What does it net per share, and at what share of toxic fills does it break even?Execution and market microstructureCoreExecution and microstructureOptions market making
  5. 065You are asked to build a model of monthly rents for 5,000 Mumbai flats from carpet area, floor, distance to the nearest station and building age. Choose the target, the features and the validation scheme, and interpret a coefficient of 0.9 on log area.Signal research and data tasksCoreTwo SigmaNew York · 2025
  6. 066A 3-year bond yields 7.2% while the 2-year yields 6.8%, and the desk funds positions at 6.5%. What does holding the 3-year for a year earn in carry plus roll-down, in basis points, and what yield rise would wipe it out?Fixed income and creditCoreFixed income quantQuant trading
  7. 067One-month implied volatility on an index is 30% and your desk forecasts 22% realised. You sell a delta-hedged at-the-money straddle on Rs 10 crore notional. Estimate the expected profit from the gamma-theta relationship, the result if realised volatility is 35% instead, and what can go wrong between hedges.Options and volatility tradingHardOld Mission CapitalChicago · 2025
  8. 068An analyst adds 12 macro variables to a 3-variable return model estimated on 120 months, and R-squared rises from 8% to 17%. Compute adjusted R-squared before and after and an F-test on the added block. Did the twelve add anything?Regression and model reviewWarm upQuant researchSystematic hedge funds
  9. 069An endowment can mix a risky portfolio with 8% expected excess return and 16% volatility with cash. It wants 10% volatility. What allocation does it hold, and what excess return should it expect?Portfolio constructionWarm upPortfolio constructionSystematic hedge funds
  10. 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

Company names and figures are illustrative.