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. 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
  2. 034A strategy has expected excess return of 8% and volatility of 16% a year. What is the full-Kelly leverage, what growth do full and half Kelly give, and what gross exposure would you run on Rs 200 crore?Position sizing and bankrollCoreSystematic hedge fundsQuant trading
  3. 045A trader with Rs 50 lakh of risk capital stakes 5% of current capital per trade at a 52% win rate with even payoffs; the desk stops her at a 30% drawdown. How likely is the stop, and what changes at 2%?Position sizing and bankrollCoreProp trading firmsQuant trading
  4. 059A Rs 100 crore book targets 10% annual volatility. The asset's volatility is 25% today against 15% last month. What gross exposure does the target imply now and then, and what happens if volatility spikes to 40%?Position sizing and bankrollWarm upSystematic hedge fundsRisk quant
  5. 070A desk has two even-money bets, each winning 55% of the time. Size them with Kelly alone, then jointly when they are independent, and then when their outcomes have correlation 0.5.Position sizing and bankrollHardSystematic hedge fundsQuant trading
  6. 086Tamrisk's market-making book has a one-day 99% VaR budget of Rs 30 lakh, and the contract moves with a daily standard deviation of Rs 1,500 per lot. What is the maximum inventory, and how should the quotes skew as inventory approaches it?Position sizing and bankrollCoreOptions market makingRisk quant

Company names and figures are illustrative.