The process took 3 days. I interviewed at Bloomberg (New York, NY) in Nov 2011
Interview
Three phone interviews. First 2 phone interviews were not difficult. Some technical questions on what I had done. No brain treasures. 3rd phone interview was some what difficult as I was not quite ready for such type of questions. He was not interested in what I had done. Straight to questions. Looked like the interviewer had prepared well.
Interview questions [4]
Question 1
how do you generate two noise processes/series with a correlation of 0.6.