I applied online. I interviewed at Jane Street in Mar 2016
Interview
Phone interview, I froze and messed up at very easy question. The interviewer was very nice and help me. At the end he asked me if I have some questions for him. When I've ended the call I know that I messed up on very easy question and assumed that I will not pass.
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.