TL;DR
Poisson Process: Conditioning and Splitting: A canonical quantitative trading interview question at intermediate difficulty. Commonly asked at Jane Street, Two Sigma, DE Shaw, Citadel, HRT.
By Valenke Exam Prep Team·Last updated 2026-06-01
intermediateRandom Variables & Distributions
Poisson Process: Conditioning and Splitting
Asked at: Jane Street, Two Sigma, DE Shaw, Citadel, HRT
Problem
Customers arrive at a store as a Poisson process with rate per hour. Each customer independently buys something with probability .
(a) What is the distribution of the number of purchases in a 2-hour window?
(b) Given that 8 customers arrived in one hour, what is the distribution of the number of purchases?
(c) What is the probability that the 3rd purchase happens before time hour?
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