I applied online. I interviewed at Jane Street (New York, NY) in Feb 2015
Interview
Applied as a trading, development, or research intern. I went through 3 phone interviews before I was finally called to do an on-site interview at New York. HR made the process of traveling to New York from California fairly painless, and I opted to fly in the day before my interview to get some rest.
On-site interview was composed of four separate interviews, in addition to lunch with a current employee and a session afterwards to talk about the internship in general (after I received my offer). I interviewed twice with traders, once with the devs, and once with research, as it was yet undetermined which type of intern I would be. All of the interviews were fairly tricky and required some thought - in my first interview I competed with another candidate to win trading contracts, which was stressful - but most of the questions were pretty fun as well.
Interview questions [1]
Question 1
A cube that is white on the inside is painted blue and then chopped into thirds along each dimension (resulting in 27 smaller cubes). Blindfolded, I pick a cube at random and toss it in the air so that it lands on the ground with one side down. I open my eyes and see that all of the visible sides of the cube are white. What is the probability that the side that is currently face down is blue?
They tend to examine the logical thinkers that can communicate clearly and concisely, and some problem-solving exercises intended to explore how you gather and apply new information, very different from other tech companies' interviews.
Initial application and online assessment. Had a first round behavioral interview where they asked me about myself, my experiences, and a couple of brain teasers. The interviewer was very nice.
Phone interviews (at least 3) - questions were of mixed difficulty (some pretty hard) but the interviewers were friendly and they gave helpful hints. Kind of fun - review probability and game-type questions.
