Equity Market Structure Quant Interview Guide
Equity market structure quant interview guide covering exchanges, auctions, corporate actions, ETFs, borrow, events, and adjusted data.
Candidates preparing for equity trading, research, market structure, or data interviews.
Equity structure is more than order books
Equity market structure includes exchanges, auctions, displayed liquidity, corporate actions, ETF mechanics, borrow constraints, and event timing. Each can affect data and execution.
Data adjustments are central
Splits, dividends, spinoffs, index changes, and symbol changes can distort historical prices and returns if data is not adjusted point in time.
Concrete example
A backtest that ignores a stock split can see a false price crash, while a backtest that uses future-adjusted membership can leak information into the past.
Borrow and events affect tradability
Long-short equity strategies need borrow availability, hard-to-borrow fees, recalls, earnings events, and liquidity constraints to be modeled realistically.
Common mistakes
Candidates often treat equities as clean price series. Strong answers include venue mechanics, corporate actions, borrow, data timing, and execution costs.
Practice the pattern
Use the LeetQuidity curriculum and calibration to turn this topic into a focused practice plan.