Quant interview questions
1,322 questions in the style trading and research firms ask, from probability and brainteasers to options, statistics and coding. Every question is open to read; the 50 in the free sample show their worked solutions here.
57 questions · page 2 of 2 · Clear filters
- You estimate a 500 × 500 sample covariance matrix from 250 days of demeaned returns.Linear algebra · Advanced
- You run PCA on raw features measured in wildly different units, and one feature…Linear algebra · Advanced
- A symmetric matrix has eigenvalues 10, 6 and 2.Linear algebra · Advanced
- A matrix has singular values 5, 4, 2 and 1.Linear algebra · Advanced
- Two uncorrelated assets have variances 0.04 and 0.01 and expected excess returns 8% and 3%.Linear algebra · Advanced
- A correlation matrix estimated from patchy data has a small negative eigenvalue.Linear algebra · Advanced
- Assets A and B correlate at 0.9, and B and C at 0.9.Linear algebra · Advanced
- You estimate a correlation matrix for 100 assets from 400 days of independent…Linear algebra · Advanced
- Two assets have volatilities 20% and 10% and correlation 0.5.Linear algebra · Advanced
- In maximising a Gaussian likelihood over a symmetric covariance matrix Σ, what…Linear algebra · Advanced
- An equicorrelated matrix, part 3 of 4Linear algebra · Advanced
- Projecting onto a factor, part 3 of 3Linear algebra · Advanced
- Minimising a quadratic, part 3 of 4Linear algebra · Advanced
- Keeping the big singular values, part 3 of 3Linear algebra · Advanced
- Two correlated assets, part 3 of 3Linear algebra · Advanced
- An equicorrelated matrix, part 4 of 4Linear algebra · Expert
- Minimising a quadratic, part 4 of 4Linear algebra · Expert