I applied online. The process took 2 weeks. I interviewed at Jane Street (New York, NY) in Apr 2015
Interview
God contacted about a phone interview pretty quickly. Did poorly on the interview and didn't hear back for 2 weeks. Apparently the phone interviews get tougher and tougher. Be ready to work quickly and accurately with distractions
Interview questions [1]
Question 1
A lot of expected value questions and how much would you be willing to pay for this game. Someone about two games being fair/ equivalent?
They tend to examine the logical thinkers that can communicate clearly and concisely, and some problem-solving exercises intended to explore how you gather and apply new information, very different from other tech companies' interviews.
Initial application and online assessment. Had a first round behavioral interview where they asked me about myself, my experiences, and a couple of brain teasers. The interviewer was very nice.
Phone interviews (at least 3) - questions were of mixed difficulty (some pretty hard) but the interviewers were friendly and they gave helpful hints. Kind of fun - review probability and game-type questions.