TL;DR
Markov Chain Steady State via Eigenvalues: A canonical quantitative trading interview question at intermediate difficulty. Commonly asked at DE Shaw, Two Sigma, Citadel, Jane Street.
By Valenke Exam Prep Team·Last updated 2026-06-01
intermediateLinear Algebra & Optimization
Markov Chain Steady State via Eigenvalues
Asked at: DE Shaw, Two Sigma, Citadel, Jane Street
Problem
A particle moves between states A and B. At each step:
- From A: moves to B with probability 0.3, stays at A with probability 0.7
- From B: moves to A with probability 0.4, stays at B with probability 0.6
Find the steady-state distribution. What fraction of time does the particle spend in state A in the long run?
Related concepts
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