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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 λ=10\lambda = 10 per hour. Each customer independently buys something with probability p=0.3p = 0.3. (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 t=1t = 1 hour?

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