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I have an upcoming quantitative trading interview (prop desk at a large bank), and I would like to have some good questions to ask about the group. However, I am changing fields from academia and I do not have a good idea about what sort of things I should be looking for, and what questions would 1) probe my fit with the group/firm and 2) give me a better idea of how they work.

Here are two suggestions I have received so far, which illustrate the type of questions I would be looking for:

What markets do you operate in?

What is your Sharpe ratio?

In addition to the question, a brief explanation of how to interpret the group's answer to the question would be appreciated. What does operating in one market tell me? Many markets? An example answer featuring a question/explanation would be

What is your Sharpe ratio? - A high ratio tells you ... Avoid groups with low ratios because ...

One question/explanation per answer, please. Feel free to use the examples I've given, as I am unsure of how to interpret the responses.

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Moderators: if you feel this is off-topic, please read the discussion at meta.quant.stackexchange.com/questions/182/interview-questions before voting to close. – James Davidoff Sep 15 '11 at 18:21
Moderators: Since the purpose here is to deduce the best set of questions, with one question per answer, a community wiki designation may be appropriate. – Tal Fishman Sep 15 '11 at 18:29

1 Answer

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Asking questions like "what is your sharpe ratio" is, IMO, not a good idea. Ask questions that demonstrate your interest in making their firm a success.

  1. What markets do you trade? (you listed this one)
  2. Describe the firm's high-level process for taking an idea, developing a model, and moving it into production.
  3. What constraints do you place on new models?
  4. How do you monitor and manage model-specific and firm-wide risk?
  5. What types of models will I be prohibited from developing? For example, am I free to construct a model that holds positions for 100+ days? What about a pure intraday model?
  6. Describe the tool set or framework that your quants use to develop models.
  7. Are there resources available to develop new tools for internal use to make quants more productive?
  8. How are your quants organized within the organization? Are they encouraged to collaborate or are they competing with one another (whether directly or, indirectly for mind share and resources from other support teams).

Questions that show you're interested in deducing whether you can be a success are much more interesting to the interview than questions that might be perceived as you measuring them to some arbitrary yard stick to see if its worth your while to join.

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Yes, asking about Sharpe ratios seemed to me to be like asking 'are you good at your job?'. #2 is great, and the phrasing of 'deducing whether you can be a success' is exactly what I've been trying to put to words! – James Davidoff Sep 15 '11 at 18:46
Could you explain what answers to #1 would tell me about the group? – James Davidoff Sep 15 '11 at 20:51
Mostly whether you're interested in what they trade. If you're a big energy futures guy joining an equities focused firm might not be the best idea. Unless the firm is super secretive you probably know the answer to this question before you get in there. – Louis Marascio Sep 16 '11 at 1:25

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