A practical guide to quantitative finance interviews

What Hacker News says

1. rmrfstarAug 2020
   For Data Science brain teasers, solving math problems that require clever use of the fundamentals. That means calculus, linear algebra, and basic stats.

   A ninja is not defined by his sword. Reading books gives you new weapons, but you must learn to use them proficiently. Solving problems is therefore critical.

   Some good sources of problems:

   Sanjoy Mahajan (2010) "Street Fighting Mathematics"

   Xingfeng Zhou (2008) "A Practical Guide to Quantitative Finance Interviews"

   Timothy Crack (2019) "Heard on The Street: Quantitative Questions from Wall Street Job Interviews"

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2. throwawaymathSep 2018
   Depending on the hedge fund (I'm thinking of a few in particular), there isn't really a route to practicing these problems just to get better at the interview. You'll be asked to talk about your own research in the domain and you'll work on re-deriving (very small parts of) the research of other members of the team with guidance and from first principles. Regardless of applicability to the job, if you're asked to prove a theorem on the board you either know it (and have known it for a while, and in depth), or you don't. In that sense they're not brainteasers to practice a particular formula for, like solving an algorithms question or probability estimation.

   That being said if you're just talking about mathematics and statistics problems the more mainstream hedge funds like to ask their quant candidates, read Crack's Heard on the Street, Joshi-Denson-Downes' Quant Job Interview Questions and Answers, and Zhou's A Practical Guide to Quantitative Finance Interviews.

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3. dsaccoJul 2017
   It's hard to provide very detailed advice without knowing what exactly you're doing - are you developing market making algorithms? Working on execution algorithms? Implementing strategies developed by researchers? Is this a hedge fund or a prop trading firm? There is a lot that can encompass "quantitative developer" in the front (and back!) office.

   There are three standards that you can think of as the Cracking the Coding Interview of quant finance (insofar as that is a homogenous field, which it isn't):

   1. Heard on the Street

   2. Quant Job Interview Questions and Answers

   3. A Practical Guide to Quantitative Finance Interviews

   You want to also practice algorithms as you would for a Google/Facebook whiteboard interview, but alongside that drill down on statistics. If you have the time review your linear algebra.

   Higher math will be less necessary if you're a developer as opposed to a researcher, but they'll still want it. It's probably in your best interest if you know at least one "serious" language used for performance (C++, Java typically) while also being familiar with the data analysis libraries of Python.

   If you have no experience with finance and you're coming in to that cold, give Options, Futures and Other Derivatives a read. I'm assuming you're in this boat because you're asking the question.

   This is sort of catch-all advice. If you're working at Virtu or Jump, you're going to want to know as much as you can about low level programming with regards to latency, networking and memory, because those are HFT firms. If you're working at a place like Two Sigma, Java will be more applicable and you want to know more about statistics and data analysis on a practical level, because you're be implementing the strategies developed by quantitative researchers.

   Tailor your approach to the type of trading the firm engages in. I've made two assumptions here - 1) you're interviewing with a firm considered "quantitative" as opposed to discretionary and 2) you're interviewing for a front office role, not a back office role (support, farther from money).

   If you give more information about the type of firm and the type of role we can provide much more constructive advice.

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4. kccqzyMay 2024
   Yeah there's a famous but outdated book called A Practical Guide to Quantitative Finance Interviews by Xinfeng Zhou that gives you some idea of what questions they like to ask.
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5. antegamisouAug 2023
   There's a reference to the classic Heard on the Street book but you should also check out Zhou's green book, which consists a guide on cracking the type of interview questions Google used back in the mid 2000s/early 2010s (how many ping pong balls can fit in an airplane), with much more demanding problems though:

       A Practical Guide To Quantitative Finance Interviews,  Xinfeng Zhou
   

   https://www.amazon.com/Practical-Guide-Quantitative-Finance-...
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