some easy to medium probability questions
Quant Research Interview Questions
296 quant research interview questions shared by candidates
Given a set of portfolio sharpies and a correlation, what is the optimal ratio of portfolios.
Introduce one project that is related to quantitative investment.
How would you detect and address multicollinearity in a multiple regression model, and what impact can it have on the interpretation of the coefficients?
probability (green book), brainteasers, coding
The interview was dominated by CS-related questions, mostly based around algorithms. Max-subarray, problems involving a bisection-based solution, and concepts around sorting. In addition to that a short discussion about a small class hierarchy in C++ or other language in which it makes sense to do OOP. The whole thing was done purely over the phone which made communication considerably more difficult than expected (and amplified language barrier problems). One other problem based on Monte Carlo and some properties of the proposed estimator.
Standard DP: Longest common subsequence,
coding questions with C++ mainly on algo
Technical questions about my CV (in depth). Black Scholes formula, Greeks, definition of option, market making, arbitrage, ...
Question on simulating random variables.
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