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 10 · 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. 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
  3. 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
  4. 029A social media sentiment signal on 150 consumer stocks goes long the top decile and short the bottom, with a 53% hit rate on two-day holds and an average move of 1.2%. Costs are 15 basis points a side and capacity is capped at 1% of daily volume. Is there a business, and how big?Signal research and data tasksHardTwo SigmaNew York · 2024
  5. 040Daily card-spend data covers 8% of transactions for 60 listed retailers and arrives with a 3-day lag; results come out 45 days after quarter end. How long is the information window, and how precise can the estimate be?Signal research and data tasksCoreQuant researchSystematic hedge funds
  6. 054Your model of daily stock returns has an out-of-sample R-squared of 0.4%. A senior researcher asks whether that is useless. Convert it to a correlation and to a rough annual Sharpe ratio for a strategy trading it across 300 stocks.Signal research and data tasksCoreSquarepoint CapitalParis · 2025
  7. 065You are asked to build a model of monthly rents for 5,000 Mumbai flats from carpet area, floor, distance to the nearest station and building age. Choose the target, the features and the validation scheme, and interpret a coefficient of 0.9 on log area.Signal research and data tasksCoreTwo SigmaNew York · 2025
  8. 078In a six-hour data task, a feature predicts next-day returns across 400 stocks with an average daily information coefficient of 0.02 and a standard deviation of 0.08 over 750 days. Is it real, what information ratio should you expect, and what do you check before presenting?Signal research and data tasksHardSquarepoint CapitalParis · 2025
  9. 089Parvanta asks you to design the train, validation and test split for eight years of daily data with 20-day forward-return labels. How many days must be purged and embargoed around each boundary, and how many walk-forward folds with one-year test windows remain?Signal research and data tasksCoreOptiverSan Francisco · 2026
  10. 099At Tessorin, a random forest on 50 features scores a training R-squared of 35% and a test R-squared of -0.8% on daily returns, while a three-feature ridge model scores 0.6% and 0.4%. Explain the gap, choose a model, and say how you would set the number of trees and the depth.Signal research and data tasksHardTower Research CapitalPrinceton · 2018

Company names and figures are illustrative.