代码题库

Shrinkage Blend of Two Alpha Sources with Z-Score Normalization

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

Arrival Price vs TWAP Decision under Alpha Decay

Dual-Benchmark IS — Arrival Price vs Interval VWAP

As-of Merge — Attach Most-Recent Mid-Price to Each Trade

As-of Merge — Trades against Quotes

Per-Asset Beta to a Benchmark Portfolio

Daily Backtest with Overnight Borrow Cost

Basel VaR Backtest Traffic-Light Zones

Blocked Time-Respecting CV: Contiguous Folds with Train-Before-Test

Bond Portfolio Key-Rate Duration Hedge via Least Squares

Brinson-Hood-Beebower Three-Effect Attribution

Detect Butterfly-Arbitrage Violations on a Call-Price Strike Grid

Calmar Ratio — Annualized Return over Maximum Drawdown

Choueifaty Diversification Ratio of a Gaussian Portfolio

Christoffersen Independence Test for VaR Breach Clustering

Compact a Ring-Buffer of Ticks into Evenly-Bucketed Time Slices

Component VaR Decomposition for a Gaussian Portfolio

IC-IR-Weighted Composite of Three Sub-Factors

Aggregate Multi-Desk VaR from Standalone VaRs and a Loss-Correlation Matrix

Correlated Factor-Shock Monte-Carlo for Stress P&L

Cross-Sectional Demean of an Alpha Factor

Decile-Spread Forward Return Averaged Across Dates

Deduplicate a Replayed Tick Stream by (ts, exchange-seq), Latest-Ingest Wins

Double-No-Touch Pricing via Antithetic-Variate Monte Carlo

Downsample a Tick Stream into OHLCV Bars (Right-Closed)

Exponentially-Weighted Sharpe Ratio

Excess Returns Over a Benchmark

Composite Broker Execution-Quality Score with Direction-Aware Z-Score Blend

Factor-Shock Scenario P&L on a Linear Factor Model

Per-Venue Fill Rate with Wilson Confidence Intervals

Forward-Fill Missing Minutes Within a Trading Session

Groupby-Mean by Key with a Min-Count Gate

Historical Stress Loss Replay

Idiosyncratic Volatility Factor — Rolling Residual Std After Market Beta

Implementation Shortfall — Three-Component Attribution

Vega-Weighted Average Implied Volatility Across a Strike Grid

Importance Sampling for Deep OTM Monte Carlo

Incremental VaR of a Candidate Trade

Information Ratio of an Active-Return Series

Merton Jump-Diffusion European Call via Monte Carlo

Lag/Lead Shift by Key — Within-Group Time-Series Offset

Limit-Order Fill Simulation against High-Low Bars

Look-Ahead Bias Detector via Lagged-Correlation Comparison

Fixed-Strike Lookback Call Pricing via Monte Carlo

Marginal VaR Sensitivity for a Gaussian Portfolio

Max Drawdown Decomposition

Maximum Drawdown Duration on the Equity Curve

Mean-Reversion Factor — Residualized Last-K Return

Modigliani M-Squared — Vol-Rescaled Risk-Adjusted Return

Multi-Leg Implementation Shortfall — Basket Covariance Attribution

Multi-Level Monte Carlo for a European Call

Rank Features by Histogram-Estimated Mutual Information with the Target

Group-Neutralize a Factor by Sector Tag

Omega Ratio of a Return Series at a Threshold

Online PCA via Oja's Rule (Streaming PC1)

Online Z-Score Anomaly Flag

Post-Earnings Announcement Drift Signal (D+1 to D+60 Excess Return)

Percent-Change from a Configurable Base

Long-to-Wide Pivot — Reshape a (Date, Ticker, Value) Panel into a Matrix

Aggregate Book Delta per Underlying

Per-Asset and Portfolio Cap Clamping for Target Weights

Position P&L With Transaction Fees

Reactive POV Schedule with Min/Max Catch-Up Bounds

Purged k-Fold CV with Embargo

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

Cross-Sectional Rank Bucketing into Deciles with Ordinal Tie-Breaks

Spearman Rank Correlation with Average-Rank Tie Breaking

RankGauss Transform on a Cross-Section of Alpha Factors

Turnover-Aware Rebalance on Bucketed-Signal Change

Resample Tick Prints into Fixed-Interval OHLC Bars

Reverse Stress Test — Solve for Shock Magnitude Hitting a Target Loss

Rolling Engle-Granger Cointegration Test for Pairs Trading

Semi-Deviation of a Return Series Around the Sample Mean

Implementation Shortfall — Fee vs Market-Impact Decomposition

Size Factor as Negative Log Market Cap (Cross-Sectional Z-Score)

Sortino Ratio of a Return Series with Target Return

European Call MC with Stratified Sampling on Terminal Z

Stress Coverage Ratios Against Available Capital

Stress-Loss Aggregation by Bucket

Survivorship-Aware Tradeable Universe on a Date

Systematic-vs-Idiosyncratic Variance Decomposition (Factor Model)

Tick Buffer — Binary-Search Lookup and Range Scan by Timestamp

Tracking-Error Variance Contribution by Sector

Scalar Tracking Error of an Active-Return Series

Trailing 12-1 Momentum Factor (Skip Last Month)

Transaction-Cost-Aware Target Weights from Alpha Signal

Treynor Ratio — Systematic-Risk-Adjusted Excess Return

TWAP Equal-Slice Schedule with Front-Loaded Residue

TWAP Scheduling Through Forbidden No-Go Windows

Up-Capture and Down-Capture Ratios versus a Benchmark

Count and Timestamp VaR Breaches

Vectorized PnL with Time-Varying Borrow Fee Curve

Vectorized Per-Period PnL with Transaction Costs

Vega-Bucketed PnL Explain Across a Strike Grid

Linear Total-Variance Interpolation Across Maturities

VWAP Deviation by Broker

VWAP Tracking-Error P&L

VWAP Schedule Along a Volume Curve with Participation Cap

Walk-forward CV: Expanding and Rolling-window Folds

Walk-Forward Validation for Time-Series Backtests

Welford's Online Variance

Cross-Sectional Winsorization of Alpha-Factor Values

Cross-Sectional Z-Score with Optional Winsorization