QIS
General Interview Information
Interview Details
Maths - all technical - introduce yourself.
1. If A and B are correlated 0.8, B and C are 0.8, what is the correlation between A and C?
a. to solve this you need to think of the correlation matrix
2. If X,Y are independent standard normal, is X*Y standard gaussian? Why?
a. to solve this - despite it has same mean, variance and shape and skewness, its fourth moment (kurtosis is different)
3. If W_t is a Wiener process, calculate E[W_p * W_r * W_s] where p < r < s.
Coding - programming exercise + experience with ML and some coding project.
1. Write code for a factorial value of n. I implemented just direct calculation + he suggested recursive approach and we discussed what is better.
Imagine you have csv given and it contains 2 columns - date and daily return. You want to trade based on signals if on a given date each month it was positive or negative 365 days rolling average.
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