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, 38 of them free to practise right now. 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 →
- An ant returning to its cornerMediumExpected ValueStochastic ProcessesView →
- Covariance of a Poisson processMediumStochastic ProcessesView →
- Dice game, up to three rollsMediumExpected ValueStochastic ProcessesView →
- Dice payoff via WaldMediumExpected ValueStochastic ProcessesView →
- Expected flips for HHMediumRandom VariablesExpected ValueView →
- Expected flips for HHTMediumExpected ValueStochastic ProcessesView →
- Expected flips for HTMediumExpected ValueStochastic ProcessesView →
- First passage to ±1MediumStochastic ProcessesView →
- Gambler's ruinMediumProbabilityStochastic ProcessesView →
- Gambler's ruin (unfair)MediumProbabilityStochastic ProcessesView →
- Is W(t)³ a martingale?MediumStochastic ProcessesView →
- Log-dynamics of a geometric Brownian motionMediumStochastic ProcessesView →
- Norm of a doubly-stochastic stationary vectorMediumLinear AlgebraStochastic ProcessesView →
- The SDE of the reciprocalMediumStochastic ProcessesView →
- Tuning an exponential random walkMediumProbabilityStochastic ProcessesView →
- Variance of a Brownian combinationMediumStochastic ProcessesView →
- Variance of a time-weighted Itô integralMediumCalculusStochastic ProcessesView →
- Variance of integrated Brownian motionMediumStochastic ProcessesView →
- A 12 before two 7sHardProbabilityStochastic ProcessesView →
- Conditioning a Brownian bridgeHardStochastic ProcessesView →
- Hitting zero on a ringHardProbabilityStochastic ProcessesView →
- Laplace transform of a Brownian exit timeHardStochastic ProcessesView →
- Making a power of Brownian motion a martingaleHardStochastic ProcessesView →
- Mean of a mean-reverting processHardStochastic ProcessesFinance & DerivativesView →
- Quadratic variation in mean-squareHardStochastic 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 →
- A mean-reverting processMediumStochastic ProcessesFinance & Derivatives Premium
- A stationary probabilityMediumStochastic Processes Premium
- A two-step transitionMediumStochastic Processes Premium
- Absorption probability on a lineMediumProbabilityStochastic Processes Premium
- Arrivals before the rival streamMediumProbabilityStochastic Processes Premium
- Buyer count in a thinned arrival streamMediumProbabilityStochastic Processes Premium
- Conditioning Brownian motion on its futureMediumStochastic Processes Premium
- Expected duration of a fair gameMediumExpected ValueStochastic Processes Premium
- Expected exponential of Brownian motionMediumStochastic Processes Premium
- Expected rolls for two sixes in a rowMediumExpected ValueStochastic Processes Premium
- Expected steps to first reach a levelMediumProbabilityStochastic Processes Premium
- Expected value of a mean-reverting processMediumStochastic Processes Premium
- HT before HH in coin flipsMediumProbabilityStochastic Processes Premium
- Is the random walk squared a martingale?MediumExpected ValueStochastic Processes Premium
- Periodicity and limiting distributionMediumStochastic Processes Premium
- Reaching the target before ruinMediumStochastic Processes Premium
- Renewal-reward fraction of time runningMediumExpected ValueStochastic Processes Premium
- Return time from a three-state chainMediumStochastic Processes Premium
- Risk-neutral up probabilityMediumStochastic ProcessesFinance & Derivatives Premium
- Short-rate modelsMediumStochastic ProcessesFinance & Derivatives Premium
- Splitting a merged Poisson totalMediumStochastic Processes Premium
- Stationary distribution of a two-state chainMediumProbabilityStochastic Processes Premium
- The Markov propertyMediumStochastic Processes Premium
- Variance of a stochastic integralMediumProbabilityStochastic Processes Premium
- Variance of an aggregate Poisson totalMediumRandom VariablesStochastic Processes Premium
- Amoeba extinctionHardProbabilityStochastic Processes Premium
- Branching process extinction (critical)HardProbabilityStochastic Processes Premium
- Branching process extinction (supercritical)HardProbabilityStochastic Processes Premium
- Drunk man on a bridgeHardExpected ValueStochastic Processes Premium
- Ehrenfest urn stationary distributionHardProbabilityStochastic Processes Premium
- Expected duration of a fair walkHardExpected ValueStochastic Processes Premium
- Expected flips for HHHHardExpected ValueStochastic Processes Premium
- Expected flips for HTHHardExpected ValueStochastic Processes Premium
- Expected revisits of the start stateHardExpected ValueStochastic Processes Premium
- Exponential martingale compensatorHardCalculusStochastic Processes Premium
- Four heads in a rowHardExpected ValueStochastic Processes Premium
- Making change in lineHardCombinatoricsStochastic Processes Premium
- Optional stopping between +3 and −5HardExpected ValueStochastic Processes Premium
- Quadratic variation of a scaled Itô integralHardCalculusStochastic Processes Premium
- Reflected paths ending below the levelHardProbabilityStochastic Processes Premium
- Reflecting wall first-passage timeHardExpected ValueStochastic Processes Premium
- Repainting balls to one colorHardExpected ValueStochastic Processes Premium
- World Series bettingHardExpected ValueStochastic Processes Premium
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