Stochastic Processes Questions for Prop Trading Interviews
A prop trading round does not test stochastic processes the way a textbook does. This set is the overlap - the stochastic processes questions that actually turn up in this format.
14 questions, all free to practise. The split is 12 medium, 2 hard.
- A stationary probabilityMediumStochastic ProcessesView →
- Absorption probability on a lineMediumProbabilityStochastic ProcessesView →
- Arrivals before the rival streamMediumProbabilityStochastic ProcessesView →
- Buyer count in a thinned arrival streamMediumProbabilityStochastic ProcessesView →
- Dice game, up to three rollsMediumExpected ValueStochastic ProcessesView →
- Expected exponential of Brownian motionMediumStochastic ProcessesView →
- Gambler's ruinMediumProbabilityStochastic ProcessesView →
- Periodicity and limiting distributionMediumStochastic ProcessesView →
- Reaching the target before ruinMediumStochastic ProcessesView →
- Renewal-reward fraction of time runningMediumExpected ValueStochastic ProcessesView →
- Return time from a three-state chainMediumStochastic ProcessesView →
- The Markov propertyMediumStochastic ProcessesView →
- Expected duration of a fair walkHardExpected ValueStochastic ProcessesView →
- Reflecting wall first-passage timeHardExpected ValueStochastic ProcessesView →
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This set is a slice of two larger ones. If it is too narrow, start here instead:
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