I applied through university. The process took 2 weeks. I interviewed at Jane Street (New York, NY) in Jan 2008
Interview
The interview was very rigorous. The phone screen consisted of a number of technical questions. Most of the technical questions were focused on brainteasers, expected value, and statistical questions. I would certainly grab the book "Heard on the Street" to see similar question types. The one on one interviews were even more detailed then the phone. Only one fit type question and that was "Why Trading?". Definitely one of the hardest interview process I have had.
Interview questions [1]
Question 1
What is the expected value of a dice? Make me a market on it.
Many rounds of brainteasers, some of which are more rapid fire in nature and others which require you to flesh out a detailed answer to a complex problem. Be well rested and well prepared!
mostly maths probability questions - a lot of conditional probability, relatively easy in the first round, but you need to think out loud - you need to be really fast
4 rounds in final. The first one is market making of cards. The rest are especially designed games. The interviewer may ask added question along the playing of the game