I applied online. The process took 2 weeks. I interviewed at Jane Street (New York, NY) in Jan 2014
Interview
phone interview of the 4th round and got rejected after that
each round several probability questions
I think I answered them correctly but maybe slowly
not sure about the mechanics after the interview
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.