标题: Jane Street Capital 一面惨败（面经） [打印本页] 作者: P_E_M_Lee 时间: 2010-12-7 19:53 标题: Jane Street Capital 一面惨败（面经） Jane Street Capital， 一家quantitative trading公司。主要是靠arbitrage来创利。和hedge fund不同的是这家公司不替任何客户管理资本。这家公司用的是自己的钱。所以对风险的喜好没有hedge fund那么高。其实具体操作起来，和hedge fund没什么区别。都是通过建立模型预测市场走向来套利的。所以在这种地方工作还是蛮有挑战的。正如这家公司自己网站上说的：
Jane Street is a quantitative proprietary trading firm that operates around the clock and around the globe. We bring a deep understanding of markets, a scientific approach, and innovative technology to bear on the problem of trading profitably in the world's highly competitive financial markets.
1. mental arithmetics (no calculator, no paper and pen)
43-87=?
11%*182=?
38*42=? What is the percentage you are confident with your answer?
2. I roll a die, and I will give you an amount in pounds equal to the number on the die. For example, if I get 5, I will give you 5 pounds. What is the price you are willing to pay for this game? (a: 3.5)
now say that when you roll the die, you are allowed to either take the money that you get with the roll, or roll a second time. But you have to take whatever it is of the second roll. what is the price you willing to pay to play? (a: 4.25)
3. 3 coins, what is the probability that I get two heads? If 4 coins, what is the probability that I get at least two heads? How confident you are with this answer? (a: 0.5, 11/16)
4. One normal ball has length 8-inch weighs 80kg, what is a 12-inch ball weigh? (a: 270kg)
5. If I drop a ball from 10 meters high, it will always rebound half the distance, e.g. the first time, it rebounds 5m high, then the second time 2.5m, etc. So how long does the ball travel after it finally stops? Confident? (a: 30m)
最后，如果有人有志做quant，我很建议大家看看Crack 的"Heard on the street"这本书。对准备quant面试相当有帮助！建议大家搜索下载。我下了一本，可是附件太大没有办法发到这里。有兴趣的朋友可是又找不到下载地方的可以留下邮箱地址。我有空的时候发给你。
normal ball 应该是空心的吧～感觉球大部分是空心的。
足球啊，篮球啊，气球什么的，哈哈……忽略我的存在吧作者: jztanghu 时间: 2010-12-13 01:13
Jane Street的要求确实蛮高，不过楼主的学校是他们的target school。。数学和概率这东西得多准备作者: MYQueena 时间: 2010-12-13 14:51
To LZ, My calculation for the 5th question is 20, and the answer to the first one in the 3rd question is 3/8. Therefore I got a conclusion when the guy asked you about your confidence, under that situation you should pay attention to ur solution.作者: MYQueena 时间: 2010-12-13 14:52
To LZ, My calculation for the 5th question is 20, and the answer to the first one in the 3rd question is 3/8. Therefore I got a conclusion when the guy asked you about your confidence, under that situation you should pay attention to ur solution.作者: P_E_M_Lee 时间: 2010-12-13 19:12 回复 10#MYQueena
Well, the guy who interviewed me said all my answers were right. Other wise I would not post my answers here. Just maybe the way I presented it had some confusion (I guess this might be the reason they turned their back to me). So if you insist 3/8 and 20 are right, I have no comments.
They ask about confidence is not about whether it is right or wrong. They are trying to figure out if you do this many times, how many times you will get wrong. For example, when I answered the first question, the mental arithmetic question, I said I have 95% confidence. Then the guy said "OK, so you calculate this 20 times and get one time wrong"...作者: allenxxxx 时间: 2010-12-13 19:37
其实根据LZ给出的问题，第三题第一问应该是3/8才对的。因为是问题是 what is the probability that I get two heads? 二项分布的概率只需要算3取2的概率。
如果把问题改成what is the probability that I get at least two heads? 那么就是4/8。作者: P_E_M_Lee 时间: 2010-12-13 19:51
呵呵，我也注意到这个了。谢谢指出。其实应该是at least. 我的疏忽。接受批评。作者: wyf1412 时间: 2010-12-14 00:58
请问楼主第2题的第2问（就是答案是4.25的那问）题目直接假设投资者是risk averse或者risk neutral的吗？如果投资者是risk averse或者risk neutral的话那么他们都在第一次掷出的骰子是1,2,3的情况下会选择再掷第二次，而如果第一次掷出是4,5，6的情况下则不会掷第二次会选择直接拿钱结束，这样算答案就是4.25。但如果我是risk lover就不是这么回事了啊...............虽然大部分投资者是risk averse的但是不是不同人可以有不同答案啊？作者: P_E_M_Lee 时间: 2010-12-14 01:12 回复 14#wyf1412
