Quant interview questions

496 questions · page 9 of 13 · Clear filters

• The area under a Brownian path, I = ∫₀³Wₛ ds, has mean zero. What is its variance?Stochastic calculus · Advanced
• In the CIR model dr = κ(θ−r) dt+σ√r dW with θ = 0.04 and σ = 0.3, what is the…Stochastic calculus · Advanced
• Under ℙ, W is standard Brownian motion.Stochastic calculus · Advanced
• What does the Feynman–Kac theorem connect?Stochastic calculus · Advanced
• Why price a bond option under the forward measure rather than the risk-neutral one?Stochastic calculus · Expert
• You deepen your trees from depth 3 to depth 12. What happens to bias and variance?Machine learning · Foundation
• A node holds 40 positive and 60 negative examples. What is its Gini impurity?Machine learning · Foundation
• A model’s predictions at a point have bias 0.3 and variance 0.2, and the…Machine learning · Foundation
• As you train longer, training error keeps falling while validation error starts rising.Machine learning · Foundation
• A node holds 40 positive and 60 negative examples.Machine learning · Foundation
• A logistic regression has weights w = (2,−1) and bias −1.Machine learning · Foundation
• One-dimensional points 1,2,3,10,11,12 are clustered by k-means with k = 2 and…Machine learning · Foundation
• A point’s mean distance to others in its own cluster is 2, and to the nearest…Machine learning · Foundation
• A classifier has 30 true positives, 20 false positives and 10 false negatives.Machine learning · Foundation
• A classifier predicts probability 0.8 for an example that is in fact positive.Machine learning · Foundation
• How many learnable parameters does a fully connected layer from 100 inputs to…Machine learning · Foundation
• A softmax output layer receives logits (2,1,0).Machine learning · Foundation
• Why is ordinary shuffled k-fold cross-validation wrong on a financial time series?Machine learning · Applied · Free solution
• Why do gradient-boosted trees usually beat deep networks on daily…Machine learning · Applied
• In a ten-dimensional unit cube, what fraction of the volume lies within 0.1 of some face?Machine learning · Applied
• A support vector machine has |w|= 4. What is the width of its margin?Machine learning · Applied
• Gradient descent with momentum uses a learning rate of 0.01 and β = 0.9.Machine learning · Applied
• A batch normalisation layer follows a fully connected layer of 128 units.Machine learning · Applied
• A classifier flags 500 cases, of which 40 are true positives, and misses 60 positives.Machine learning · Applied
• Data are uniform in the unit hypercube in 10 dimensions.Machine learning · Applied
• A node has 50 positives and 50 negatives.Machine learning · Applied
• In gradient boosting, what happens if you halve the learning rate (shrinkage)…Machine learning · Applied
• Twenty percent of messages are spam.Machine learning · Applied
• What does the EM algorithm guarantee when fitting a Gaussian mixture model?Machine learning · Applied
• An anomaly detector has sensitivity 90% and specificity 95%.Machine learning · Applied
• You apply a strictly increasing transformation to a classifier’s scores.Machine learning · Applied
• Gradient descent on f(x) = x² starts at x = 1 with learning rate 0.1.Machine learning · Applied
• A quadratic loss has Hessian eigenvalues 4 and 0.5.Machine learning · Applied
• A convolutional layer uses 3 × 3 kernels, 16 input channels and 32 output…Machine learning · Applied
• A regularised linear model beats your tuned gradient-boosting ensemble out of sample.Machine learning · Advanced
• Two features are nearly identical, and a random forest reports low importance for both.Machine learning · Advanced
• What does the kernel trick actually buy you?Machine learning · Advanced
• You increase the batch size from 32 to 512 without changing anything else. What happens?Machine learning · Advanced
• Why did rectified linear units largely replace sigmoids in deep networks?Machine learning · Advanced
• You cluster a universe of assets from their correlation matrix.Machine learning · Advanced