500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
C++ and Python coding challenges for quant developer interviews
Statistical analysis and quantitative modeling problems
Trading MCQs, probability brainteasers, and market scenarios
Practice quant interview questions on MyntBit - the all-in-one quant learning platform. Free questions available for C++ coding, Python problems, probability brainteasers, and trading MCQs.
Difficulty: Hard
Category: Market Microstructure
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: avellaneda-stoikov, market-making, inventory, optimal-pricing
You are a market maker using the Avellaneda-Stoikov model for a highly liquid stock. Your risk aversion parameter is denoted by $ \gamma $ and your inventory is denoted by $q$. The mid-price follows a Brownian motion with volatility $ \sigma $ . Time to expiry of your market making activity is $T$. How does the absolute value of the adjustment to the mid-price, used to determine your optimal bid and ask quotes, change as your inventory $q$ deviates further from zero (either positive or negati
Practice this hard trader interview question on MyntBit - the all-in-one quant learning platform with 500+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.