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.
1,322 questions · page 21 of 34
- What is the leverage effect in equity returns?Time series · Applied
- Using EWMA with λ = 0.94, yesterday’s volatility estimate was 1% and today’s return is 2%.Time series · Applied
- You have ten years of daily data, start with a two-year training window, expand…Time series · Applied
- Daily returns have first-order autocorrelation 0.1 and none beyond.Time series · Applied
- With T = 100 observations, the sample autocorrelations at lags one and two are 0.2 and 0.1.Time series · Applied
- An AR(1) process has mean 2 and coefficient 0.8.Time series · Applied
- For the stationary AR(2) process xₜ = 0.5xₜ₋₁+0.3xₜ₋₂+εₜ, what is the lag-one…Time series · Applied
- What is the lag-one autocorrelation of the MA(1) process xₜ = εₜ+2εₜ₋₁?Time series · Applied
- A series’ ACF decays geometrically while its PACF is significant at lags one…Time series · Applied
- An AR(1) process has coefficient 0.8 and innovation variance 1.Time series · Applied
- A spread follows an Ornstein–Uhlenbeck process dX = θ(μ−X) dt+σ dW with θ = 5 per year.Time series · Applied
- A daily GARCH(1,1) has ω = 0.000002, α = 0.08 and β = 0.90.Time series · Applied
- A GARCH(1,1) has α+β = 0.98.Time series · Applied
- With the GARCH(1,1) above (ω = 0.000002, α = 0.08, β = 0.90), yesterday’s…Time series · Applied
- For a random-walk level observed with noise, what does the Kalman filter’s…Time series · Applied
- Returns are modelled with a Student-t distribution with 5 degrees of freedom.Time series · Applied
- Daily returns have volatility 1% and first-order autocorrelation −0.1.Time series · Applied
- The autocorrelation of absolute daily returns stays positive and decays only…Time series · Applied
- Out of sample, your return forecast has mean squared error 0.98 while the…Time series · Applied
- Volatility that clusters, part 2 of 4Time series · Applied
- Two prices that wander together, part 2 of 3Time series · Applied
- A mean-reverting spread, part 2 of 4Time series · Applied
- Two stocks have a return correlation of 0.9. Does that make them a good pairs trade?Time series · Advanced
- You compute twelve-month returns every month over ten years and test whether…Time series · Advanced
- What does the Wold decomposition guarantee about a covariance-stationary process?Time series · Advanced
- In what sense is the Kalman filter optimal?Time series · Advanced
- Under a normal distribution, roughly how many trading days pass between moves…Time series · Advanced
- You have five price series and suspect more than one cointegrating relationship.Time series · Advanced
- In the Engle–Granger test you regress one price on another and run a unit-root…Time series · Advanced
- Volatility that clusters, part 3 of 4Time series · Advanced
- Scoring a forecast out of sample, part 2 of 3Time series · Advanced
- Scoring a forecast out of sample, part 3 of 3Time series · Advanced
- Two prices that wander together, part 3 of 3Time series · Advanced
- A mean-reverting spread, part 3 of 4Time series · Advanced
- A hidden level follows a random walk with innovation variance 1 and is observed…Time series · Expert
- Volatility that clusters, part 4 of 4Time series · Expert
- A mean-reverting spread, part 4 of 4Time series · Expert
- A 3 × 3 matrix has eigenvalues 3, −1 and 2. What is its determinant?Linear algebra · Foundation
- A 5 × 8 matrix has rank 3. What is the dimension of its null space?Linear algebra · Foundation
- Square matrices A and B have det A = 2 and det B = −3.Linear algebra · Foundation