代码题库

Almgren-Chriss Static Optimal Execution Trajectory

American Put Pricing via Longstaff-Schwartz Least-Squares Monte Carlo

Antithetic Variates Variance Reduction

Credit-Based Backpressure — Replay Producer/Consumer Events into a State Trace

Bermudan Put on a CRR Tree with Selective Early-Exercise

Best Trades With K Transactions and Fee

Bond Portfolio Key-Rate Duration Hedge via Least Squares

Bounded K Transactions: 2D DP for Maximum Profit

Card Shuffle Bias Detection

CIR Short-Rate MLE Calibration on a Historical Series

Count Regime Paths Satisfying Constraint

Credit Portfolio MC Loss Distribution (Single-Factor Gaussian Copula)

DAG Schedule on K Machines with Critical-Path Priority

Weighted Edit Distance with Per-Character Cost Matrices

Empirical Copula via Per-Column Uniform Rank Transform

Empirical Inverse-CDF Marginal Mapping (Copula Pipeline, Step Two)

Empirical Mean Excess Function for POT Threshold Selection

Empirical Upper-Tail-Dependence Coefficient from Bivariate Samples

Optimal Execution Trajectory Under Hard Per-Bucket Volume Caps

Fork-Join Segment Stats (Welford Pairwise Merge)

Gaussian-Copula Correlated Samples via Cholesky Factorisation

GPD Tail-VaR Extrapolation under the POT Framework

Bivariate Gumbel-Copula CDF Closed-Form Evaluation

HDR Histogram Recorded-Value Bucket Index and Quantile Estimate

Hill Estimator for the Tail Index of a Heavy-Tailed Loss Distribution

Black-Scholes Implied Volatility on a Strictly Increasing Price Curve via Bisection

Importance Sampling for Deep OTM Monte Carlo

Merton Jump-Diffusion European Call via Monte Carlo

Largest Rectangle in Order Book Depth

Mahalanobis Distance via Cholesky Forward-Solve

Maximum Cumulative Carry Under a Bounded Sign-Flip Budget

Maximum-Diversification Portfolio (Choueifaty-Coignard)

Maximum Grid PnL Path With At-Most-K Cell Skips (Right/Down)

Maximum Profit Over Bounded-Drawdown Window

Max-Reward Sequence Alignment Across Trade-Action Streams

Long-Only Mean-Variance Efficient Frontier

Minimum Knight Moves — BFS on an Infinite Board

Min Replenishments to Avoid Stockout

Smallest Router Count under a BFD Load-Cap Assigner via Bisection

Smallest Stress Severity Factor Where a Counterparty First Breaches Its Cap

Minimum Window Substring

Multi-Leg Implementation Shortfall — Basket Covariance Attribution

Multi-Level Monte Carlo for a European Call

Multi-Period DP for Optimal Execution Under Impact and Risk

Multi-Period Impact P&L with Exponential Decay Between Periods

Rank Features by Histogram-Estimated Mutual Information with the Target

Next Depth-Jump within a Forward Window: Bounded-Distance Ratio-Threshold Scan over a Best-Bid-Depth Tape

Online PCA via Oja's Rule (Streaming PC1)

Optimal Strike Allocation in Option Spread

Parallel Pairwise Mean Merge with Kahan Compensation

Pareto Tail VaR via Hill-Estimator Extrapolation

Optimal Ledoit-Wolf Shrinkage (Frobenius)

Cache-Aware Pipeline Replay — Minimum Re-run Set with Input-Hash Chaining

Purged k-Fold Cross-Validation for Time-Series ML

Spearman Rho and Kendall Tau-b: Dual Rank-Correlation Diagnostic for the Copula Pipeline

Realized-Volatility Jump Test (Barndorff-Nielsen and Shephard)

Risk-Budget Allocation via Iterative Fixed-Point

Rolling Engle-Granger Cointegration Test for Pairs Trading

Rolling-Window Variance Ratio Test (Lo-MacKinlay)

Smart-Order Routing With Bayesian Fill-Rate Priors and UCB Exploration

Spectral Risk Measure (Acerbi 2002)

Fit the Square-Root Market-Impact Coefficient by Weighted Least-Squares

European Call MC with Stratified Sampling on Terminal Z

Aggregate Bottleneck Bid-Depth across All Contiguous Price-Band Sweeps (Depth-Uniformity Score)

Svensson (1994) 6-Parameter Yield-Curve Fit

SVI Slice Fit with No-Butterfly-Arbitrage Constraint

t-Copula Correlated Samples via Cholesky and Chi-Square Scaling

T-Digest Streaming Percentile Estimator (k_1 Scale Function)

TWAP Scheduling Through Forbidden No-Go Windows

Two-Budget Strike-Premium Knapsack (Delta and Vega Caps)

Vasicek ASRF Capital Factor at Confidence Level Alpha (Basel IRB)

Vasicek Short-Rate MLE Calibration on a Historical Series

Walk-Forward Validation for Time-Series Backtests

Watermark-Driven Tumbling Windows with Late-Event Handling

Weighted-Cost Edit Distance Between Trade-Action Paths