Upon submitting on-line resume, was directed to a "technical exam," which was basically an IQ test. Immediately after completing the test (must have passed) I received an e-mail saying they would like to schedule a phone interview. The phone interview lasted about 45 minutes and featured two senior Bloomberg software engineers asking me to dictate C++ and pseudocode over the phone.
Several days later I received an e-mail requesting my presence for an in-house interview in New York. Bloomberg took care of all accommodations, including airfare, hotel stay in Manhattan, a private car from La Guardia, and a $100 pre-paid gift card for expenses (about $1000 in total). The in-house interview pitted myself in an 8ft x 8ft room against two senior software engineers who grilled me for 1 hour, primarily on lists, sorting, and memory storage. The situation was very high-pressure, uncomfortable, and one of the engineers was fairly rude. I was sent on my way and received a rejection e-mail while sitting in La Guardia for my flight back.
To anyone considering this position, please note that Bloomberg seems more concerned with having someone who has obscure rules and syntax memorized than someone who is a creative problem solver and logical thinker. If being a by-the-book stooge is your gig, Bloomberg will love you.