The process took 3 weeks. I interviewed at Bloomberg (New York, NY) in May 2010
Interview
I applied and received an online test via email the next day. After completing the test (presuming you pass) they schedule a phone interview. This consisted of a couple of brain teaser question such as implementing a stack using 2 queues and a couple of others. After that is the onsite interview. The interviewers were nice but I bombed it anyways. The first question asked how to convert the base of a number. There were also a couple of questions about trees.