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: VWAP, variance, brownian-motion, execution, market-microstructure
You are tasked with executing a VWAP (Volume Weighted Average Price) order for a large client over a single trading day, $T$. Assume the following conditions hold: Volume arrives uniformly throughout the day. The price of the asset follows a Brownian motion with volatility $ \sigma $. Your execution perfectly tracks the VWAP. Calculate the variance of the difference between your average execution price and the terminal price of the asset, $S_T$. In other words, find $VarVWAP - S_T$.
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.