7 problems
Statistics interview questions
Estimation, regression, correlation and the traps in each. Research interviews lean here heavily, and vague answers are punished.
The third correlation
StandardA and B are 0.9 correlated, B and C are 0.9 correlated. What range is possible for the correlation of A and C?
Why the top performers disappoint
Warm-upA fund's best traders this year are usually worse next year. Does that mean the firm is failing to develop them?
How long to trust a Sharpe ratio
HardA strategy shows a Sharpe of 2 over six months. How much should that convince you?
The backtest that will not survive
StandardYou tried two hundred signal variants and kept the best. Its backtest Sharpe is 2.5. What do you actually believe?
Is this series stationary?
StandardWhy does stationarity matter before you model a price series, and what do you do about it?
The trend that reverses
StandardA strategy outperforms in every market regime measured separately but underperforms overall. How?
Why n minus one
Warm-upWhy does the sample variance divide by n-1 rather than n?