Quant interview questions

1,322 questions · page 27 of 34

• A colleague shows you a backtest with a Sharpe ratio of 2.1 over three years.Alpha and signal research · Advanced
• Your signal has a large positive loading on the value factor.Alpha and signal research · Advanced
• A signal has an information coefficient of 0.05 against returns, both approximately normal.Alpha and signal research · Advanced
• You hold 50 names at active weights of ±2%, each with 30% idiosyncratic…Alpha and signal research · Advanced
• Why did regulators move from value at risk to expected shortfall?Alpha and signal research · Advanced
• Two standardised signals are uncorrelated with each other and have ICs 0.04 and 0.03.Alpha and signal research · Advanced
• Positions are proportional to a standardised signal.Alpha and signal research · Advanced
• For normally distributed P&L with zero mean and standard deviation σ, the 97.5%…Alpha and signal research · Advanced
• A strategy earns 10 bp gross per trade.Alpha and signal research · Advanced
• The best of a hundred backtests, part 3 of 3Alpha and signal research · Advanced
• Hedging out the market, part 3 of 3Alpha and signal research · Advanced
• A signal that trades too much, part 3 of 3Alpha and signal research · Advanced
• What does the probability of backtest overfitting measure?Alpha and signal research · Expert
• Skill, breadth and the information ratio, part 3 of 3Alpha and signal research · Expert
• You are asked to "predict demand" for a bike-share operator. What do you say first?Research case studies · Foundation · Free solution
• Ten observations: nine average 2 and one is 100.Research case studies · Foundation
• Your evaluation metric is mean absolute error and the target is heavily skewed.Research case studies · Foundation
• A model’s errors on five cases are 1,−1,2,−2,6.Research case studies · Foundation
• The best bid has 300 lots and the best offer 100.Research case studies · Foundation
• You buy 100 shares at $10.00, 300 at $10.20 and 100 at $10.50.Research case studies · Foundation
• You buy at $100.03 when the mid-quote is $100.00.Research case studies · Foundation
• Reading the top of the book, part 1 of 4Research case studies · Foundation
• Pricing houses in logs, part 1 of 3Research case studies · Foundation
• A backtest too good to be true, part 1 of 3Research case studies · Foundation
• An execution algorithm that looks worse, part 1 of 3Research case studies · Foundation
• Why does an interviewer ask for a baseline before you describe your model?Research case studies · Applied · Free solution
• A feature is missing for 20% of rows. What do you establish first?Research case studies · Applied
• You are asked to build a five-minute return predictor from order book data.Research case studies · Applied
• You have finished describing your approach and have two minutes left.Research case studies · Applied
• Your churn model feeds a retention offer with a fixed budget.Research case studies · Applied
• You forecast demand to decide inventory, where being short costs four times as…Research case studies · Applied
• You are asked how to validate a demand forecasting model built on three years…Research case studies · Applied
• A short-horizon signal earns 8 basis points a trade before costs of 3 basis…Research case studies · Applied
• You must present a forecast whose confidence interval is wide enough to include…Research case studies · Applied
• You are asked to predict house prices, which range from tens of thousands to…Research case studies · Applied
• A target takes values 1,2,3,4,100.Research case studies · Applied
• An opera house expects ticket demand q = 1000−10p at price p and has 800 seats.Research case studies · Applied
• A customer churns with probability 0.3 and is worth $200 if retained.Research case studies · Applied
• Your churn model’s most predictive feature is "number of support calls in the…Research case studies · Applied
• Control converts 5.0% of 10,000 users and treatment 5.6% of 10,000.Research case studies · Applied