I applied online. The process took 4 months. I interviewed at Citadel Securities (London, England) in May 2019
Interview
Mostly technical question, problem solving and brain teaser. Very coding based (as the role was in the low latency team) as the first interview is on a platform where the interviewer can see live your code
Interview questions [1]
Question 1
Price an American option via backward induction in Python
Long telephonic and video interview. Maths, probability questions and a small programming assignment. Moderate difficult interview level. Motivation/ interest to join cit sec. Started
on time and very efficient use of time
It was mostly about coding. I was first being asked to share my research experience followed by a Q&A, and then we moved on to a DP problem. Since we discussed my research for ~ 40 min, I didn't have time to finish testing my code.
I interviewed at Citadel Securities (New York, NY)
Interview
Internal matching process, then straight to a technical round. Technical Interview, some probability (brainteaser style, refresh conditional probability and Markov Chain) and linear regression, plus some coding puzzle (leetcode style medium)
Interview questions [1]
Question 1
Anything you know about linear regression and related follow ups
