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      Citadel

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      Summer Investment Associate Interview

      Feb 22, 2013
      Anonymous employee
      Accepted offer
      Positive experience
      Difficult interview

      Application

      I applied through a recruiter. The process took 5 weeks. I interviewed at Citadel

      Interview

      Received phone interviews with several teams, since each group does their own interviewing procedure. Then got second rounds with a few of those, and a final round with one. I was flown to Chicago for two hours of interviews with various members of the group. The questions varied significantly from group to group, ranging from quite easy to nearly impossible. The more quant-heavy groups ask more technical questions.

      Interview questions [3]

      Question 1

      You are asked to predict movements in the S&P 500, and the correlation between your model's predictions and the actual index movement is x. What is your expected proportion of winning trades as a function of x if you invest solely on the model? Notice that if x = 1, you will always win because you can essentially predict the future.
      Answer question

      Question 2

      An option is trading at an implied volatility of 30%, but its underlying asset has a volatility of 40%. What is your trading strategy? If you use the Black-Scholes formula to price this option, should you use 30% or 40% as the volatility?
      1 Answer

      Question 3

      Write an algorithm that calculates the square root of a number to a given precision without using any math libraries (only +,-,*,/).
      Answer question
      18