I talked with an employee recruiting at my college's career fair, and she did a good job of conveying that GLG is looking for smart people who can talk/deal with people will, and is less focused on your particular major/background.
Next they invited me to a recruiting dinner at a nice, slightly-upscale restaurant in the heart of downtown Austin. No bad pizza or iffy powerpoint here, they just said "Hey we're gonna eat this meal together so just talk to each other and have a great time." We did. The ratio was 3-1 recruits to employees and it was a fantastic opportunity to ask questions and get to know the people that work there. If you can relax and be comfortable with yourself in a large social group this will be a good look for you.
After that, I was sent a case study that is a decent representation of the work you do at GLG. You get two days, then you turn it in and do a 30 min phone follow up interview to talk through your thought process and answer questions from a more senior, team lead type.
Finally, I was invited to do an afternoon interview that was on a Friday from 12-3 pm. I was in a larger interview group, so they had us share lunch at the office while mingling with current employees (they're constantly testing to see how well you interact with lots of different people). This was followed by 2 hours of 4 back-to-back 30 min interviews. One or two will probably try to be a little more stern, but at least two of them will really just try to have a genuine and transparent conversation about how you fit in with the company. If you've made it to this point, it's not a question of your background/qualifications anymore--they want to assess cultural fit as the final determination. This is the last step in the process.