代码题库

Conditional Drawdown at Risk

Cornish-Fisher VaR

Rank-to-Percentile Transform on a Cross-Section of Alpha Factors

Decile-Spread Forward Return Averaged Across Dates

Divide-and-Conquer Sum Tree (Parallel Reduction Simulation)

Empirical Copula via Per-Column Uniform Rank Transform

Empirical Mean Excess Function for POT Threshold Selection

Empirical Upper-Tail-Dependence Coefficient from Bivariate Samples

Fit a Gumbel (GEV, ξ=0) to Block Maxima by Method of Moments

Hill Estimator for the Tail Index

Peaks-Over-Threshold GPD Fit by Method of Moments

Rolling Historical Expected Shortfall (CVaR)

Fork-Join Segment Stats (Welford Pairwise Merge)

Greenwald-Khanna Streaming Quantile Summary

HDR Histogram Recorded-Value Bucket Index and Quantile Estimate

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

Historical VaR for a Long-Only Portfolio

Rolling Historical VaR Track

Robust Cross-Sectional Z-Score via Median and MAD

MapReduce Group-By Count (Two-Phase Aggregation)

Merge Per-Day Bar Shards into a Sorted Timeseries

Monte-Carlo VaR for a Multi-Asset Portfolio

Parallel Pairwise Mean Merge with Kahan Compensation

Pareto Tail VaR via Hill-Estimator Extrapolation

Quantile Estimate from Pre-Bucketed Histogram Counts

Quintile (k-tile) Bucketing of a Cross-Sectional Factor

Rank-Average Multi-Factor Signal Combination

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

Spearman Rank Correlation with Average-Rank Tie Breaking

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

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

Rolling-Window Variance Ratio Test (Lo-MacKinlay)

Sector-Neutralize an Alpha Factor Cross-Section

Multi-Level SOR with Stale-Quote Re-Routing — Event Replay

Min-Venue-Count Smart Order Routing with Fee-Tier Crossing Penalty

SOR Across Replenishing Iceberg Venues — Event Replay

Fee-Aware Static Smart-Order Routing Across Venues

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

Spectral Risk Measure (Acerbi 2002)

Survivorship-Aware Tradeable Universe on a Date

T-Digest Streaming Percentile Estimator (k_1 Scale Function)

Equal-Weight Long-Top-K / Short-Bottom-K Portfolio

Tree Reduction with (min, max) Associative Combiner