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TL;DR

Concentration Inequalities: From Markov to Chernoff: A canonical quantitative trading interview question at olympiad difficulty. Commonly asked at Two Sigma, Citadel, DE Shaw, Jane Street, HRT.

By Valenke Exam Prep Team·Last updated 2026-06-01
olympiadReal Analysis & Inequalities

Concentration Inequalities: From Markov to Chernoff

Asked at: Two Sigma, Citadel, DE Shaw, Jane Street, HRT

Problem
A fair die is rolled n=600n = 600 times. Let SS be the sum of all rolls. (a) Compute E[S]E[S] and Var(S)\text{Var}(S). (b) Using Chebyshev's inequality, bound P(S2100200)P(|S - 2100| \geq 200). (c) Using the Central Limit Theorem, estimate P(S2100200)P(|S - 2100| \geq 200). (d) Using the Chernoff/Hoeffding bound, bound P(S2300)P(S \geq 2300). (e) Which bound is tightest? Why?

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