Began with a few "tell me about yourself" questions, then moved onto some brainteasers having to do with probability and statistics. Interviewed with a researcher who had previously interned at Jane Street before becoming a full-time employee, and the person was very nice and helpful during the whole phone call.
Interview questions [1]
Question 1
You are given a bag with tiles from 0 to 9 and a decimal point tile. The tiles will be pulled from the bag one at a time and placed on the table. The resulting number will be your prize. Compute the value of this prize.
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.