I applied through college or university. I interviewed at Citi (New York, NY) in Mar 2016
Interview
Telephone Interview for about half an hour: Time Series, Volatility estimation, Black Scholes, C++ (pointers, class, virtual function), About the company, internship experience
Then on-site super day: Exam (math, basic logic questions), Then one by one interview with about 6 employees in Citi quant team. The interviewers include quant, trader, programmer and managing director
The interview is very well organized and the interviewers are nice.
Interview questions [1]
Question 1
Brain teaser using dynamic programming.
Optimization problems using lagrange optimizer.
Statistics problems: binomial distribution and law of large number.
medium difficulty, asked regular quant questions, math, computer science and all that, regular quant questions, math, computer science and all that, not that difficult, rejected by them in the end
Interview questions [1]
Question 1
regular quant questions, math, computer science and all that
Medium. Memorize the green book and be fast at mental math and be articulate. Be able to answer simple probability questions and stats stuff. they like people who can speak English and are coherent when talking through ideas
I applied online. I interviewed at Citi (New York, NY)
Interview
It was a first round with the hiring manager who mostly asked behavioral questions. He described the role and what they do. Overall the questions he asked were trivial like bond market trading hours. I didn’t know about the sessions after the regular trading session.
Interview questions [1]
Question 1
General questions about trace data and bond markets