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 1–10 of 57 · filtered from 100Clear filters
  1. 002An index's 25-delta put trades at 28% implied volatility, the 25-delta call at 20% and at-the-money at 23%. Price a zero-cost risk reversal, explain what the skew is paying for, and say who is on the other side.Options and volatility tradingHardOptions market makingQuant trading
  2. 004A fund holds n stocks equally weighted, each with 30% volatility and pairwise correlation 0.25. What is portfolio volatility for n = 1, 10 and 50, and in the limit, and what does that mean for adding more names?Portfolio constructionWarm upPortfolio constructionRisk quant
  3. 006A broker must buy Rs 50 crore of a stock through the day, and the volume profile is U-shaped: 30% in the first hour, 20% in the last. Build TWAP and VWAP schedules and compare their tracking risk against the day's VWAP.Execution and market microstructureCoreExecution and microstructureQuant trading
  4. 008An illiquid mid-cap has a beta of 0.55 from daily returns but 0.85 from weekly returns. Explain the gap, and compute a Dimson beta from lag coefficients of 0.55, 0.22 and 0.08.Regression and model reviewCoreQuant researchRisk quant
  5. 009A short-option book has normal daily P&L with a standard deviation of Rs 1 crore, plus a 0.8% daily chance of a Rs 20 crore loss. Compare 99% VaR with 97.5% expected shortfall and say which captures the risk.Risk measurement and limitsCoreRisk quantOptions market making
  6. 010Stocks in the top decile of earnings surprise drift 1.8% over the next 20 days, with 30 bps round-trip cost and 120 events a year. Compute expected annual P&L at Rs 2 crore per event and discuss the risk that the drift has decayed.Statistical arbitrage and event tradesCoreSystematic hedge fundsQuant research
  7. 011A signal wins 56% of 200 even-payoff trades. What is the Kelly stake on the point estimate, what is the 95% interval for the win rate, and what stake would you actually run?Position sizing and bankrollHardQuant tradingSystematic hedge funds
  8. 013An equally weighted index of ten stocks has implied volatility 18% while each member's implied is 30%. Compute the implied correlation and the sign of P&L for selling index volatility and buying member volatility if realised correlation is 0.25.Options and volatility tradingHardOptions market makingQuant research
  9. 015A fund holds Rs 50 crore of stocks with a portfolio beta of 1.3 and wants to be market neutral with index futures. How much notional should it short, and what risk remains?Portfolio constructionWarm upSystematic hedge fundsPortfolio construction
  10. 016A book has a Sharpe ratio of 1.0. A candidate strategy has a Sharpe of 0.8 and correlation 0.3 with the book. What is the Sharpe of the best combination, and does the weaker strategy earn a place?Strategy evaluation and backtestsCoreSystematic hedge fundsQuant research

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