j*****4
发帖数: 292 | 1 1) bucket sorting
2) St.Peterberg problem
3) Kelly criterion
4) OLS and relation with std/corr/cov
5) As a market maker, what do you need to consider if one client ask
your quote of FX product.
6) given trading volume of past few days, how to forecast the trading
volume tomorrow
7) How to detect the errors in trading data?
8) ARMA, how to test and how to estimate the order
9) How to test a time series is mean reverting
10) What is Ridge/lasso, why use them
11) Kalman filter and how to estimate the parameters
12) Skip linked list
13) How to find the size of an array
14) Idea of svm, how to choose a kernel
15) Problems in using PCA
16) Derive Poisson bridge
17) Relation trinomial & finite difference, convergence of finite
difference
18) Replicating of digital option, vega of digital option
19) Example of mean revering, distribution of r in varsicek
20) How is garch used in finance
21) How to calculation call price with OO
22) Gamma -theta relation, implication in trading
23) Derivate BS Equation, formula
24) Duration
25) Write Heston model, relation of smile with corr of random factors
26) ?Wds, ?WdW.
27) Explain Least square MC
28) E(r) =? In CIR model |
C*O
发帖数: 389 | |
x********o
发帖数: 519 | 3 thanks.
you must be a stat phd, right?
【在 j*****4 的大作中提到】
: 1) bucket sorting
: 2) St.Peterberg problem
: 3) Kelly criterion
: 4) OLS and relation with std/corr/cov
: 5) As a market maker, what do you need to consider if one client ask
: your quote of FX product.
: 6) given trading volume of past few days, how to forecast the trading
: volume tomorrow
: 7) How to detect the errors in trading data?
: 8) ARMA, how to test and how to estimate the order
|
j*****4
发帖数: 292 | 4 phd in mech and ms in ece.
【在 x********o 的大作中提到】
: thanks.
: you must be a stat phd, right?
|
x********o
发帖数: 519 | 5 so many stat questions
【在 j*****4 的大作中提到】
: phd in mech and ms in ece.
|
j*****4
发帖数: 292 | 6 Dependens on roles. Problems selected from five algo/quant trading interview
s and one derivatives quant interview.
【在 x********o 的大作中提到】
: so many stat questions
|
z****t
发帖数: 78 | 7 I thought it is in one interview. That is a lot :)
interview
【在 j*****4 的大作中提到】
: Dependens on roles. Problems selected from five algo/quant trading interview
: s and one derivatives quant interview.
|
s*******0
发帖数: 3461 | 8 who can write the answer? |
s*******0
发帖数: 3461 | 9 How to calculation call price with OO
what is OO here mean? |
c**********e
发帖数: 2007 | 10 I think it is Objected Oriented programming. But please correct me if you
disagree.
【在 s*******0 的大作中提到】
: How to calculation call price with OO
: what is OO here mean?
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|
|
s*******0
发帖数: 3461 | 11 其实我也觉得是
不过没大看明白 难道是 写一个class?
【在 c**********e 的大作中提到】
: I think it is Objected Oriented programming. But please correct me if you
: disagree.
|
c**********e
发帖数: 2007 | 12 How to answer these 3? Thanks a ton. I have no idea on (25) relation of
smile with corr of random factors.
8) ARMA, how to test and how to estimate the order
14) Idea of svm, how to choose a kernel
25) Write Heston model, relation of smile with corr of random factors |
s*******0
发帖数: 3461 | 13 8) ARMA, how to test and how to estimate the order
这个在SAS里面可以用pca 来判定 具体操作忘记了 |
c**********e
发帖数: 2007 | 14
Is it related to PCA? I doubt it.
【在 s*******0 的大作中提到】
: 8) ARMA, how to test and how to estimate the order
: 这个在SAS里面可以用pca 来判定 具体操作忘记了
|
c****e
发帖数: 1842 | 15 should be ACF/PACF, i guess.
【在 c**********e 的大作中提到】
:
: Is it related to PCA? I doubt it.
|
s*******0
发帖数: 3461 | 16 是的 写错了
【在 c****e 的大作中提到】
: should be ACF/PACF, i guess.
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