Optiver Quantitative Research Interview: Sample Questions and Tips
Quantitative research interviews at top trading and financial firms such as Optiver, AlphaGrep, SMC Global, Virtu Financial, Morgan Stanley, and their peers are renowned for their difficulty and depth. These interviews aim to assess not just your mathematical and analytical prowess but also your creativity and understanding of both finance and probability. In this article, we’ll explore and solve some of the most frequently asked quant research interview questions, explaining all the relevant concepts in detail. Whether you’re prepping for Flow Traders, IMC Trading, Goldman Sachs, Euronext, SIG, Jane Street, or similar firms, mastering these problems will give you a strong edge.
Exchange-Traded Funds (ETFs) are baskets of securities traded on exchanges, just like stocks. The price of an ETF should closely track the net asset value (NAV) of its underlying assets. However, various factors—such as supply/demand, market liquidity, and transaction costs—can cause slight deviations.
Suppose an ETF holds a portfolio of \( n \) stocks, with weights \( w_1, w_2, ..., w_n \) and current market prices \( P_1, P_2, ..., P_n \). The theoretical NAV of the ETF is:
