My hour-long Citadel Securities Research Engineer interview began with about ten minutes of introductions and an explanation of the team's work. The role used machine learning and quantitative methods to study stock returns.
One verbal question compared modeling one-minute and five-day returns. It was broad, with little guidance, and I felt the interviewer was assessing how I structured my thinking. Another asked what I would ask the sales team about two assets with different return and volatility figures, followed by the return and volatility of an equally weighted portfolio.
The coding task asked for a square-root function, then narrowed the input to integers. I was rejected soon afterward. I suspected I had fallen short on the first two questions, but that was my interpretation rather than stated feedback.
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