I applied online. The process took 1 day. I interviewed at Jane Street (New York, NY) in May 2009
Interview
Applied online through their website. I go to a top 10 school (which was previously not a target school for Jane Street) so I'm not sure how much of a factor this was in their decision to interview me. Within 1 week of submitting my resume, they asked me if I wanted to do a phone interview. They asked me 0 fit questions and a bunch of technical questions, mostly probability (and a couple of random mental math questions). All questions are expected to be done without the use of a pencil, paper, or calculator. I'd like to comment on company culture but I bombed this interview pretty badly and didn't get the 2nd round.
Interview questions [1]
Question 1
a) expected value of a die
b) suppose you play a game where you get a dollar amount equivalent to the number of dots that show up on the die. you roll it once. if you don't like it, you get to roll it again, but you have to keep the 2nd roll. what's the fair value of this game?
c) same as b), except now you get to reroll twice.
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.