I applied online. The process took 2 days. I interviewed at Jane Street (New York, NY) in July 2013
Interview
There are a few rounds of phone interviews followed by onsite ones. The first questions are easier and you are expected to answer them quickly, they get progressively harder... Be prepared to do mental calculations while explaining your thought process.
Interview questions [1]
Question 1
various mathematical puzzles mostly to be solved by applications of probability insights; rather time constrained
The process began with serveral online tests for maths and logic. They gave a personal interview to get to know the candidate better and evaluate fit for the company/role, then held a technical interview covering maths and logic problems.
Fun and filled with unexpected questions. The questions rely on fast thinking and fast calculations, and sometimes intuition because there is no sufficient time for me to work through the whole problem.
We started with a bit of small talk, followed by some probability questions. Ended with some basic algebra questions, Make sure to ask questions if you have any. Good experience, feels like the interviewer was trading.