Data Sceientist applicants have rated the interview process at Two Sigma with 4 out of 5 (where 5 is the highest level of difficulty) and assessed their interview experience as 100% positive. To compare, the company-average is 43.1% positive. This is according to Glassdoor user ratings.
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I got rejected at the 2nd round interview. The phone interview went very smooth and the interviewee was very professional and he did ask me a lot of technique details on time series and linear regression stuff. The whole process was pretty good, but they definitely had high standard of candidates.