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 1–3 of 3 · filtered from 100Clear filters
  1. 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
  2. 084Regressed on the market alone, Suryamandal's fund shows alpha of 0.8% a month (t = 2.9). Adding size and value factors gives alpha of 0.35% (t = 1.4), with loadings of 0.95 on the market, 0.6 on size and 0.4 on value. Where did the alpha go, and what does the fund really deliver?Regression and model reviewCoreState StreetCambridge · 2019
  3. 095Read a regression output: Kalindor Motors' monthly returns on the market over 60 months give beta 1.35 (standard error 0.15), alpha 0.2% a month (standard error 0.4%) and R-squared 0.58. Does beta differ from 1, what is its 95% interval, and what do you make of alpha?Regression and model reviewWarm upWolverine TradingChicago · 2016

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