The first interview was conducted by phone. It was with a recent university graduate who was very polite and asked about three easy brain-teaser/ mathematical questions.
The second interview was also over the phone, with a more experienced trader who asked three questions, which were progressively more challenging, and the last one was very difficult. She asked about whether I liked to play logic games and which games I like to play. Although I stumbled on the last question, she still invited me for an on-site, final round interview.
The last interview consisted of several parts, on site. The first part was a group-based problem solving challenge. Everyone was asked individually to answer particular questions when called upon. They observed our group dynamics. The next interview was in front of a panel of three people, one of whom was the woman who had interviewed me over the phone during the second interview. This was partially a stress-based interview and they asked me things like, "When was the last time you got into a fight with someone?" They asked three mathematical questions. The first was a simple probability distribution question, very easy. The next was mental math, which you should practice. The last was a very difficult brain teaser. I stumbled on the last two questions, more because of stress than anything else, and didn't get the offer. They were cold and sarcastic but I think once you start working there, there is more of a team sense. The last part was a visit to the trading floor where we got to speak with traders who were at work at that time. They were mostly reserved and some were uninterested.
Overall, somewhat hostile, but a good place to work to keep your thinking skills sharp, and I imagine it's good compensation.