In addition to others, I was given some standard pricing questions.
Quant Researcher Interview Questions
727 quant researcher interview questions shared by candidates
Tell us about yourself What do you do to avoid model overfitting?
Hackerrank: Given a matrix A, write a matrix M for which every element [i,j] is the sum of all elements of A left and above A[i,j] Considering the following matrix A: [ [3, 7, 1], [2, 4, 0], [9, 4, 2] ] Compute M: [ [3, 10, 11], [5, 16, 17], [14, 29, 32] ]
What assets does Da vinci trade
What do you think will happen in Greece?
For the 1:1 interview I got first one medium question: a) painting with true price x between 0 and 1000, you can place a bid offer b anywhere, if you're below nothing happens, if you're above you pay it at b and sell it to a friend for 1.5x, what's your bid? Question two was: You begin with $100. You flip a fair coin. Heads, you get 1$. Tails, your money gets inversed (i.e. first tails, your money is now 1/100). What is the expected value after 10 flips? sol: a) quite interesting, the idea is to split in two events: either you're below and nothing happens, or you're above and you get 1.5x - b, the trick is that when you're in that event, the expected value for x is b/2, so you're expected to get -b/4 which is negative, so you shouldn't place any bet! b) For this one I got these hints: - what happens if you have just 2 coins? - what are your expected end results? - do you think there are more than 10 ways to get end with more than 100? Basically the idea is the compute the first values and observe that they form a Fibonacci sequence pattern, and thus intuite that the final expected value for n=10 is around F(n+1)/(2^n)
How can you generate a Poisson distributed random variable?
What is stationarity in a stochastic process? Not to be confused with stationarity distribution of a Markov Chain.
What is the VaR? Went over an example of VaR, aka asking what is the VaR for this problem.
what is the maximum likelihood estimator for linear regression
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