I applied online. The process took 4 days. I interviewed at Jane Street (New York, NY) in Dec 2016
Interview
Was asked if I wanted to take an online interview rather than a in person interview for first round. I elected to take the online interview. It was fairly easy, but I wasn't sure what to put down given the time constraints (a few slightly complex probability/expected value type questions in 30 minutes)
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.