I applied online. The process took 2 months. I interviewed at Jane Street (New York, NY) in Jun 2016
Interview
Had a series of interviews with different probability questions. The puzzles were fun and the interviewers were helpful. Recruiters were very prompt in arranging interviews. Practice probability questions. If you've done competition math before, the questions shouldn't be too difficult. Onsite is a little tougher because they have two interviewers come into the room to stress test you.
The process began with serveral online tests for maths and logic. They gave a personal interview to get to know the candidate better and evaluate fit for the company/role, then held a technical interview covering maths and logic problems.
Fun and filled with unexpected questions. The questions rely on fast thinking and fast calculations, and sometimes intuition because there is no sufficient time for me to work through the whole problem.
We started with a bit of small talk, followed by some probability questions. Ended with some basic algebra questions, Make sure to ask questions if you have any. Good experience, feels like the interviewer was trading.