AppliedNumeric answer
A short-horizon signal earns basis points a trade before costs of basis points, and you can do trades a day at million each. What is the expected daily profit, in dollars?
Answer with a number. Fractions, powers and expressions like 23/6 or C(52,5) are read correctly in practice.
The worked solution is in Premium
The answer, the full working and the one idea to take away – for this and all 1,322 questions in the bank. Answer it in practice and your working is marked, with a known mistake named when you make one.
Learn the method
Market-data cases: short-horizon prediction from the order book
Reported in interviews at
More research case studies questions
- The best bid has 300 lots and the best offer 100.Foundation
- You buy 100 shares at $10.00, 300 at $10.20 and 100 at $10.50.Foundation
- You buy at $100.03 when the mid-quote is $100.00.Foundation
- Reading the top of the book, part 1 of 4Foundation
- You are asked to build a five-minute return predictor from order book data.Applied
- You need to classify trades as buyer- or seller-initiated from trades and quotes.Applied