I applied online. The process took 1 week. I interviewed at Jane Street in Oct 2016
Interview
Had a phone interview with some questions. Was not allowed to use paper and pencil. Had to talk through my thinking process. They did not give feedback if I was right or wrong.
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.