Quant interview questions

40 questions · Clear filters

• US payrolls come in far stronger than expected, with no change in inflation data.Markets and products · Foundation
• You pitch a long at $50 with a target of $60 and a stop at $45.Markets and products · Foundation
• You risk 1% of a $1,000,000 account on each idea.Markets and products · Foundation
• You pitch a long position because a company looks cheap on earnings.Markets and products · Applied
• A target trades at $47 against a $50 all-cash offer, and would fall to $38 if…Markets and products · Applied
• You have pitched a long with a thesis, a catalyst and a target.Markets and products · Applied
• Using the original Taylor rule, i = r*+π+0.5(π−π*)+0.5 y, with a neutral real…Markets and products · Applied
• What is the main channel through which quantitative easing lowers long-term…Markets and products · Applied
• In late September 2022 long-dated UK gilt yields rose so fast that the Bank of…Markets and products · Advanced
• A cash flow of $5 arrives in one year and then grows at 3% a year forever.Time value, rates and linear products · Foundation
• A project costs $100 today and returns $60 at the end of each of the next two years.Time value, rates and linear products · Applied
• Why does a mortgage-backed security exhibit negative convexity as yields fall?Time value, rates and linear products · Advanced
• You hold 5,000 shares of an $80 stock with a beta of 1.5 to the index.The Greeks and hedging · Applied
• A strategy has a true Sharpe ratio of 0.5.Statistics and inference · Applied
• A test returns p = 0.03. What does that mean?Statistics and inference · Applied
• The tallest fathers tend to have sons shorter than themselves. What does this show?Regression and econometrics · Applied
• A spread follows Δsₜ = −0.05 sₜ₋₁+εₜ on daily data.Time series · Applied · Free solution
• You compute twelve-month returns every month over ten years and test whether…Time series · Advanced
• An Ornstein–Uhlenbeck process has θ = 2 per year and σ = 0.4.Stochastic calculus · Applied
• Why is ordinary shuffled k-fold cross-validation wrong on a financial time series?Machine learning · Applied · Free solution
• A classifier assigns scores at random. What is its expected AUC?Machine learning · Applied
• What does embargoing do that purging does not?Machine learning · Advanced · Free solution
• A stock has a beta of 1.2, the risk-free rate is 3% and the equity risk premium is 5%.Alpha and signal research · Foundation
• A signal has an information coefficient of 0.05 and you make 400 independent bets a year.Alpha and signal research · Applied · Free solution
• You hold four uncorrelated assets in equal weight, each with 20% volatility.Alpha and signal research · Applied
• Under the square-root law of market impact, quadrupling your order size…Alpha and signal research · Applied
• A signal has an information coefficient of 0.05 at a one-day lag and a decay…Alpha and signal research · Applied
• A signal holds 500 names but its returns are almost entirely explained by a…Alpha and signal research · Advanced
• Your signal has a large positive loading on the value factor.Alpha and signal research · Advanced
• You hold 50 names at active weights of ±2%, each with 30% idiosyncratic…Alpha and signal research · Advanced
• You are asked to "predict demand" for a bike-share operator. What do you say first?Research case studies · Foundation · Free solution
• A feature is missing for 20% of rows. What do you establish first?Research case studies · Applied
• You have finished describing your approach and have two minutes left.Research case studies · Applied
• You must present a forecast whose confidence interval is wide enough to include…Research case studies · Applied
• You build a factor from quarterly fundamentals downloaded from a vendor today.Research case studies · Advanced
• A backtest computes pnl = signal * returns, where both are indexed by day. What is wrong?Python and data for quants · Applied · Free solution
• A strategy has a daily Sharpe ratio of 0.1. What is its annualised Sharpe ratio?Python and data for quants · Applied
• Your gross Sharpe ratio is 2 and your net Sharpe ratio is 0.1.Python and data for quants · Applied
• A feature is standardised by subtracting its mean and dividing by its standard…Python and data for quants · Advanced
• You build a ten-year backtest on the stocks currently in an index.Python and data for quants · Advanced