Given a stream of limit orders, implement matching, orderbook, pnl, and risk exposure logic.
Quant Analyst Interview Questions
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How did you improve algorithm?
They expect you to know well your stochastic calculus (PDEs, Feynmann-Kac) and also products pricing (understanding of smile calibration, stochastic vol...) and you also get a C++ test with the dev team.
I did not get chance to interview.
Mostly resume questions and some econometrics questions on multicollinearity, adjusted-R^2 and the likes
Interaction with your previous boss.
The questions were simple mostly but they wanted the most efficient approach of it.
- what stages are involved in the electricity market?
Market risk management, FRTB, Python
Explain how you conduct the case study
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