I applied online. The process took 3 weeks. I interviewed at Jane Street (Hong Kong) in Oct 2014
Interview
I was informed beforehand by HR that the process involves a few phone screens (with increasing difficulty), followed by a final on-site interview. I did not make it past the 3rd phone screen.
Interview questions [1]
Question 1
Mainly related probability (calculation of probabilities, conditional probabilities, expected value).
They tend to examine the logical thinkers that can communicate clearly and concisely, and some problem-solving exercises intended to explore how you gather and apply new information, very different from other tech companies' interviews.
Initial application and online assessment. Had a first round behavioral interview where they asked me about myself, my experiences, and a couple of brain teasers. The interviewer was very nice.
Phone interviews (at least 3) - questions were of mixed difficulty (some pretty hard) but the interviewers were friendly and they gave helpful hints. Kind of fun - review probability and game-type questions.