Stochastic Processes Interview Questions for Quant Researchers
Quant Researchers get asked stochastic processes differently from other quant roles - the emphasis shifts with what the job actually does. This is that slice.
81 questions, all free to practise. The split is 8 easy, 43 medium, 30 hard.
- Covariance of summed Brownian motionsEasyStochastic ProcessesView →
- Crossing the origin twiceEasyStochastic ProcessesView →
- Landing two above the startEasyStochastic ProcessesView →
- Profit from a favourable stopping gameEasyExpected ValueStochastic ProcessesView →
- Retries under a hard capEasyExpected ValueStochastic ProcessesView →
- Variance of a sum of Brownian motionEasyStochastic ProcessesView →
- Variance of an asymmetric random walkEasyRandom VariablesStochastic ProcessesView →
- Where the arrivals landEasyProbabilityStochastic ProcessesView →
- A mean-reverting processMediumStochastic ProcessesFinance & DerivativesView →
- A stationary probabilityMediumStochastic ProcessesView →
- A two-step transitionMediumStochastic ProcessesView →
- Absorption probability on a lineMediumProbabilityStochastic ProcessesView →
- An ant returning to its cornerMediumExpected ValueStochastic ProcessesView →
- Arrivals before the rival streamMediumProbabilityStochastic ProcessesView →
- Buyer count in a thinned arrival streamMediumProbabilityStochastic ProcessesView →
- Conditioning Brownian motion on its futureMediumStochastic ProcessesView →
- Covariance of a Poisson processMediumStochastic ProcessesView →
- Dice game, up to three rollsMediumExpected ValueStochastic ProcessesView →
- Dice payoff via WaldMediumExpected ValueStochastic ProcessesView →
- Expected duration of a fair gameMediumExpected ValueStochastic ProcessesView →
- Expected exponential of Brownian motionMediumStochastic ProcessesView →
- Expected flips for HHMediumRandom VariablesExpected ValueView →
- Expected flips for HHTMediumExpected ValueStochastic ProcessesView →
- Expected flips for HTMediumExpected ValueStochastic ProcessesView →
- Expected rolls for two sixes in a rowMediumExpected ValueStochastic ProcessesView →
- Expected steps to first reach a levelMediumProbabilityStochastic ProcessesView →
- Expected value of a mean-reverting processMediumStochastic ProcessesView →
- First passage to ±1MediumStochastic ProcessesView →
- Gambler's ruinMediumProbabilityStochastic ProcessesView →
- Gambler's ruin (unfair)MediumProbabilityStochastic ProcessesView →
- HT before HH in coin flipsMediumProbabilityStochastic ProcessesView →
- Is W(t)³ a martingale?MediumStochastic ProcessesView →
- Is the random walk squared a martingale?MediumExpected ValueStochastic ProcessesView →
- Log-dynamics of a geometric Brownian motionMediumStochastic ProcessesView →
- Norm of a doubly-stochastic stationary vectorMediumLinear AlgebraStochastic 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 →
- Risk-neutral up probabilityMediumStochastic ProcessesFinance & DerivativesView →
- Short-rate modelsMediumStochastic ProcessesFinance & DerivativesView →
- Splitting a merged Poisson totalMediumStochastic ProcessesView →
- Stationary distribution of a two-state chainMediumProbabilityStochastic ProcessesView →
- The Markov propertyMediumStochastic ProcessesView →
- The SDE of the reciprocalMediumStochastic ProcessesView →
- Tuning an exponential random walkMediumProbabilityStochastic ProcessesView →
- Variance of a Brownian combinationMediumStochastic ProcessesView →
- Variance of a stochastic integralMediumProbabilityStochastic ProcessesView →
- Variance of a time-weighted Itô integralMediumCalculusStochastic ProcessesView →
- Variance of an aggregate Poisson totalMediumRandom VariablesStochastic ProcessesView →
- Variance of integrated Brownian motionMediumStochastic ProcessesView →
- A 12 before two 7sHardProbabilityStochastic ProcessesView →
- Amoeba extinctionHardProbabilityStochastic ProcessesView →
- Branching process extinction (critical)HardProbabilityStochastic ProcessesView →
- Branching process extinction (supercritical)HardProbabilityStochastic ProcessesView →
- Conditioning a Brownian bridgeHardStochastic ProcessesView →
- Drunk man on a bridgeHardExpected ValueStochastic ProcessesView →
- Ehrenfest urn stationary distributionHardProbabilityStochastic ProcessesView →
- Expected duration of a fair walkHardExpected ValueStochastic ProcessesView →
- Expected flips for HHHHardExpected ValueStochastic ProcessesView →
- Expected flips for HTHHardExpected ValueStochastic ProcessesView →
- Expected revisits of the start stateHardExpected ValueStochastic ProcessesView →
- Exponential martingale compensatorHardCalculusStochastic ProcessesView →
- Four heads in a rowHardExpected ValueStochastic ProcessesView →
- Hitting zero on a ringHardProbabilityStochastic ProcessesView →
- Laplace transform of a Brownian exit timeHardStochastic ProcessesView →
- Making a power of Brownian motion a martingaleHardStochastic ProcessesView →
- Making change in lineHardCombinatoricsStochastic ProcessesView →
- Mean of a mean-reverting processHardStochastic ProcessesFinance & DerivativesView →
- Optional stopping between +3 and −5HardExpected ValueStochastic ProcessesView →
- Quadratic variation in mean-squareHardStochastic ProcessesView →
- Quadratic variation of a scaled Itô integralHardCalculusStochastic ProcessesView →
- Reflected paths ending below the levelHardProbabilityStochastic ProcessesView →
- Reflecting wall first-passage timeHardExpected ValueStochastic ProcessesView →
- Repainting balls to one colorHardExpected ValueStochastic ProcessesView →
- Second moment of a Gaussian-kernel stochastic integralHardCalculusStochastic ProcessesView →
- The leap-frog's favorite landing spotHardProbabilityStochastic ProcessesView →
- Two Brownian values, both positiveHardProbabilityStochastic ProcessesView →
- Variance of an Itô integralHardStochastic ProcessesView →
- When a power of the process is a submartingaleHardProbabilityStochastic ProcessesView →
- World Series bettingHardExpected ValueStochastic ProcessesView →
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