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 1–6 of 6 · filtered from 100Clear filters
  1. 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
  2. 021Two bank stocks have 0.92 daily return correlation but their price ratio drifted from 1.0 to 1.6 over three years; a second pair has 0.55 correlation but a stationary spread with an ADF p-value of 0.01. Which pair do you trade?Statistical arbitrage and event tradesHardSystematic hedge fundsQuant research
  3. 035An ETF trades at Rs 101.2 while its indicative NAV is Rs 100.0. A creation unit is 50,000 units, creating costs 0.3% and trading the basket costs 0.2%. Is creation arbitrage profitable, and what closes the premium?Statistical arbitrage and event tradesWarm upSystematic hedge fundsExecution and microstructure
  4. 046The near-month index future is at 22,150 and the next month at 22,280, 28 days apart, with funding at 6.8% and a dividend yield of 1.2%. Is the calendar roll rich or cheap, and what does the roll trader do?Statistical arbitrage and event tradesHardSystematic hedge fundsQuant trading
  5. 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
  6. 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

Company names and figures are illustrative.