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 43 · filtered from 100Clear filters
  1. 001A dataset of one-minute order-flow imbalance against next-minute futures returns gives a slope of 0.8 bps per unit, a t-statistic of 12 and an R-squared of 1.5%, with a 3 bp spread. Is the signal tradeable?Signal research and data tasksCoreHudson River TradingAnonymous interview candidate in · 2024
  2. 003You make a market in a coin-flip contract paying Rs 100 on heads. One trade in four is the interviewer, who knows the outcome and trades only when it helps; the rest is balanced. What is the narrowest breakeven spread, and what does quoting 45 at 55 cost over 40 trades?Market-making gamesHardCitadel SecuritiesLondon · 2026
  3. 005A backtest shows 18% gross return at 9% volatility, turning the book over 60 times a year at an assumed 5 bps a side. Live, costs are 14 bps a side and only 70% of signals fill. Reconcile the backtest Sharpe with a live Sharpe near zero and decide what to fix first.Strategy evaluation and backtestsHardJump TradingChicago · 2018
  4. 007A fund holds Rs 40 crore of a 2-year government bond (duration 1.9), Rs 35 crore of a 5-year (4.4) and Rs 25 crore of a 10-year (7.6). Compute portfolio duration and DV01, show two ways to raise duration to 5.5, and the P&L of a 50 bp fall in yields.Fixed income and creditWarm upPIMCOLos Angeles · 2026
  5. 012In a take-home, a stock's monthly returns are regressed on a factor over 60 months, but one month shows a data error of +250%. Compare the slope with and without it, winsorising at the 1st and 99th percentiles against deleting, and choose.Signal research and data tasksCoreBalyasny Asset ManagementNew York · 2024
  6. 014A contract settles at a die roll, doubled if a coin lands heads, plus 5 if a drawn card is red. Quote it, then decide whether to trade with a bot showing 9.5 bid, 10.5 offer, and whether to make or take.Market-making gamesHardOptiverAustin · 2025
  7. 017A strategy earns 25 bps gross per trade in stocks with Rs 40 crore daily volume and 2% daily volatility, with impact equal to volatility times the square root of participation. Compare running it with Rs 10 crore and with Rs 1,000 crore.Execution and market microstructureHardScotiabankToronto · 2025
  8. 018Pitch a 10-year trade: size a DV01-neutral 2s10s steepener against Rs 100 crore of 2-year bonds, with DV01s of Rs 1,900 and Rs 7,000 per crore, and compute the P&L if the curve steepens 20 bps with a 10 bps parallel rise.Fixed income and creditCoreBank of AmericaLondon · 2025
  9. 020A Rs 500 crore equity fund has daily volatility of 1.1%. Compute the one-day 99% VaR, the ten-day VaR by the square-root-of-time rule and the monthly VaR, then explain how daily autocorrelation of 0.2 breaks the scaling.Risk measurement and limitsWarm upAQR Capital ManagementGreenwich · 2022
  10. 022A one-day tick file has 2% of rows at price zero, 5% duplicated timestamps and one print of 8,120 between prints of 812. Identify each error, fix it, and show how each would distort daily realised volatility.Signal research and data tasksWarm upHudson River TradingAnonymous interview candidate in · 2024

Company names and figures are illustrative.