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 1–8 of 8 · filtered from 100Clear filters
  1. 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
  2. 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
  3. 028The offers are 5,000 shares at 100.10, 8,000 at 100.20 and 12,000 at 100.35 around a mid of 100.00. You must buy 20,000 shares now. What is your average price and your impact against mid?Execution and market microstructureWarm upMizuhoHong Kong · 2024
  4. 039A market maker's quotes update 200 microseconds after the index future moves. Faster traders pick off 30% of its stale quotes over 50 moves a day, each costing 3 ticks of 5 paise on 500 shares. What does latency cost a year, and is a Rs 2 crore co-location upgrade worth it?Execution and market microstructureHardExecution and microstructureOptions market making
  5. 053A Rs 40 stock trades with a 5 paise tick, a one-tick spread and deep queues. If the tick is cut to 1 paise, what happens to the spread, to displayed depth, and to the value of queue priority for a passive strategy?Execution and market microstructureCoreExecution and microstructureOptions market making
  6. 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
  7. 085Arohavi decided to buy 1 lakh shares at Rs 500. The order reached the market at Rs 502, 80% filled at an average of Rs 506, and the stock closed at Rs 515 with the rest unfilled. Decompose the implementation shortfall into delay, execution and opportunity costs.Execution and market microstructureCoreExecution and microstructureSystematic hedge funds
  8. 096Stambhika joins the bid at Rs 250.00 behind 40,000 shares with a 10,000 share buy order. Fills arrive at 2,000 shares a minute, and 60% of the selling that reaches the bid comes just before a 5 paise drop. How long until you fill, what is the chance the price moves first, and what is the adverse selection per fill worth?Execution and market microstructureHardTower Research CapitalNew York · 2020

Company names and figures are illustrative.