I applied through an employee referral. I interviewed at Jane Street (London, England)
Interview
It consisted on several phone interview lasting up to 1 hour and 3x 1hour interview onsite. In each round the difficulty increased but all problems were of similar type.
Interview questions [1]
Question 1
-Making markets on results of different probabilistic games
-Probability, Expected Value type questions
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.