I applied online. The process took 1 week. I interviewed at Citadel (London, England) in Nov 2023
Interview
The interview process at Citadel was intense and comprehensive. The initial phone screen lasted 45 minutes, focusing heavily on probability puzzles and market scenarios. The interviewer was direct and expected quick, accurate responses.
Two days later, I had back-to-back video interviews. The first centered on algorithmic trading concepts and Python implementation. The second delved into statistics and machine learning, including detailed discussions about time series analysis.
The on-site portion was grueling - six hours of continuous interviews. Notable was an interview with a senior quant who rapid-fired mental math questions for 30 straight minutes. Another session involved debugging complex C++ code while explaining my thought process.
The most challenging aspect was a two-hour simulation where I had to develop and defend a trading strategy using real market data. The interviewers deliberately pressured me to test stress handling.
The final round with the team lead focused surprisingly more on collaboration style and research approach than technical skills. They emphasized their flat hierarchy and intense work culture.
Interview questions [1]
Question 1
Probability/Statistics:
You have two fair dice. What's the probability their sum is a prime number? (Work it out in 30 seconds)
Three people play a game where each flips a coin. Last person with a different result wins. What's the expected number of flips?
Mental Math:
What's 17 x 23? (5 seconds to answer)
Square root of 2907 to two decimal places? (20 seconds)
If S&P moves 0.3% and AAPL beta is 1.2, what's AAPL's expected move?
Programming/Algorithms:
Write a function to find arbitrage opportunities in a currency exchange matrix
Given real-time trade data, design an algorithm to detect wash trading
Implement a fast moving median calculator for streaming data
Market Knowledge:
How would you arbitrage S&P 500 futures vs the underlying basket?
What happens to options prices during earnings announcements?
Design a mean-reversion strategy for ETF pairs trading
Brain Teasers:
100 people with red/blue hats. Each can see others' hats but not their own. They must simultaneously guess their hat color. They can plan beforehand. Maximize group survival.
Very good and helpful, enjoyed how they had a technical aspect as well. The interview was nice and very nice and kinda nice. Extremely nice broski, lowkenuinely a nice experience broskini.
First round discussing work experience and some hypothetical research questions and how I would approach the problems. Highly conversational and chatty. Interviewer was nice and friendly and offered his insight along the way.
It started with an automated coding screen in a language of your choice, which I unfortunately did not get past. I chose Python for the screen, the questions were pretty standard I just wasn't prepared.