Okay so I'm not a quant, I went through D.E. Shaw's interview loop for a product/UX-adjacent role, but I ended up talking to some of the SWE candidates in the waiting room (virtual waiting room, slack channel pre-onsite) and we compared notes. This is a mix of my direct experience and what I heard from the SWE folks.
The behavioral round
It's one 45-minute round, one interviewer, and it felt genuinely different from the 'tell me about a time you showed leadership' script I've gotten elsewhere.
They asked things like: Describe a project where you disagreed with your team's technical direction. How did you handle it? Tell me about a time you had to explain something highly technical to a non-technical stakeholder and it didn't go well the first time. When have you had to make a decision with incomplete information, and what was your process?
Notice the last two have built-in failure components. They want to hear about situations that didn't go perfectly. If your STAR stories all end with 'and then it worked great,' you're going to sound unbelievable.
What the values seem to be
From the prep I did and the loop itself: intellectual honesty above almost everything else. De Shaw has a culture of rigor. They want people who know what they don't know and say so. The worst thing you can do is bluff or be overconfident.
They also probe for collaboration style. Not 'do you like working with people' but 'how do you behave when you think someone smarter than you is wrong.' Real quant culture question.
Third theme: depth. Surface answers don't land here. When they asked about a past project, they kept digging (why that architecture, how did you decide, what would you change). Be ready to go 3 levels deep on anything you mention.
I did not get an offer (design roles are rare there, they may not have had budget), but the behavioral round was one of the better conversations I've had in an interview. The interviewer was engaged.