Stochastic Processes Questions for Systematic & Data-Driven Trading Interviews
A systematic & data-driven 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.
42 questions, 20 of them free to practise right now. The split is 3 easy, 21 medium, 18 hard.
- Covariance of summed Brownian motionsEasyStochastic ProcessesView →
- Variance of a sum of Brownian motionEasyStochastic ProcessesView →
- Where the arrivals landEasyProbabilityStochastic ProcessesView →
- An ant returning to its cornerMediumExpected ValueStochastic ProcessesView →
- Covariance of a Poisson processMediumStochastic ProcessesView →
- Expected flips for HHMediumRandom VariablesExpected ValueView →
- First passage to ±1MediumStochastic ProcessesView →
- Gambler's ruinMediumProbabilityStochastic ProcessesView →
- Log-dynamics of a geometric Brownian motionMediumStochastic ProcessesView →
- Norm of a doubly-stochastic stationary vectorMediumLinear AlgebraStochastic 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 →
- Mean of a mean-reverting processHardStochastic ProcessesFinance & DerivativesView →
- Quadratic variation in mean-squareHardStochastic ProcessesView →
- Two Brownian values, both positiveHardProbabilityStochastic ProcessesView →
- Variance of an Itô integralHardStochastic ProcessesView →
- A mean-reverting processMediumStochastic ProcessesFinance & Derivatives Premium
- A stationary probabilityMediumStochastic Processes Premium
- A two-step transitionMediumStochastic Processes Premium
- Arrivals before the rival streamMediumProbabilityStochastic Processes Premium
- Conditioning Brownian motion on its futureMediumStochastic Processes Premium
- Expected value of a mean-reverting processMediumStochastic 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
- Stationary distribution of a two-state chainMediumProbabilityStochastic Processes Premium
- Amoeba extinctionHardProbabilityStochastic Processes Premium
- Branching process extinction (supercritical)HardProbabilityStochastic Processes Premium
- Ehrenfest urn stationary distributionHardProbabilityStochastic Processes Premium
- Expected duration of a fair walkHardExpected ValueStochastic Processes Premium
- Expected revisits of the start stateHardExpected ValueStochastic Processes Premium
- Exponential martingale compensatorHardCalculusStochastic 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
- Repainting balls to one colorHardExpected ValueStochastic Processes Premium
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