第 11 / 11 页
非代码面试题
显示 15 / 215 道匹配题目
答题状态：未尝试未正确已正确
ID题目领域难度题型进度权限
2704Expected Null Strategies Surviving a Screening FunnelA research platform runs 200 null strategies. Only strategies with in-sample p-value below 15% are promoted, and each promoted strategy must then pass a fresh 5% confirmation test. Assuming independence under the null, what is the expected number of false strategies that survive both stages?机器学习中等数值题未尝试面试订阅2709Why Ranking by In-Sample Sharpe Prefers Noise PeaksWhy does selecting the strategy with the highest in-sample Sharpe systematically bias the chosen strategy upward even when all candidates are mediocre?机器学习困难essay未尝试面试订阅2710Why CPCV Helps but Does Not Solve Adaptive Idea GenerationWhy can combinatorial pathwise validation improve robustness checks without fully solving the problem of researchers inventing new ideas after seeing the old results?机器学习困难essay未尝试面试订阅2714Why Search Depth Is Bigger Than the Number of Named StrategiesWhy can a team that claims to have tested only five named strategies still have conducted a much deeper search than that number suggests?机器学习困难essay未尝试面试订阅2715Why Economic Logic Acts Like a Prior Against NoiseWhy does a strategy with a credible economic mechanism deserve more trust than a statistically similar strategy with no coherent story?机器学习困难essay未尝试面试订阅2718Why Strategy Combination Can Also OverfitWhy does building a meta-portfolio from many individually researched strategies create another layer of overfitting risk?机器学习中等essay未尝试面试订阅2720Why Live Degradation Should Be the Default ExpectationWhy should a PM expect live performance to come in below the very best backtest rather than treat any shortfall as an implementation surprise?机器学习困难essay未尝试面试订阅5898Continuous Kelly for Normal ReturnsEach round you allocate a fraction f of wealth to a position whose one-period return R is approximately normal with small mean >0 and variance 2 (with 2\ll 2), so post-round wealth is multiplied by 1+fR. Using a second-order expansion of the log, derive the growth-optimal fraction f *.概率中等derivation未尝试面试订阅5901Expected Rounds to Double a Kelly BankrollA gambler bets the Kelly fraction on an even-money coin with win probability p=0.6 every round, so log-wealth is a random walk with positive drift. Let G be the per-round expected log-growth (the maximal Kelly growth rate). Using an optional-stopping argument on a suitable martingale, estimate the expected number of rounds until wealth first doubles. You may ignore overshoot past the doubling level.概率困难数值题未尝试面试订阅5902Kelly Sizing with an Unknown Win ProbabilityA coin's win probability is unknown, with prior \sim Beta (2,2). You observe 7 wins and 3 losses in calibration trials, then must place one even-money bet on the next flip, choosing a fraction f of wealth to maximize the expected log-wealth after that bet. What fraction should you bet, and why is the posterior mean (rather than, say, the posterior mode) the right quantity to plug into the Kelly formula?概率中等数值题未尝试面试订阅5911How Long Can You Play Before the Edge Eats YouYou start with \2 and bet \1 per round on an even-money game you win with probability p=0.4. You play until you either reach \5 or go broke. What is the expected number of rounds you play before the game ends?概率困难数值题未尝试面试订阅5914Red-and-Black Bold Play from Three-QuartersIn red-and-black you bet on an even-money outcome that comes up with probability p=0.4, scaling all amounts so the goal is \1. You currently hold \0.75 and use bold play: stake \min( current ,\ 1- current ) each round, trying to reach \1 before reaching \0. What is the probability bold play reaches the goal?概率中等数值题未尝试面试订阅6036Implied AR(1) Coefficient From a Target Half-LifeA desk wants a mean-reverting signal whose shocks lose half their expected size every 5 trading days. If the signal is modeled as AR(1), X (t+1) = phi X t + epsilon (t+1), what value of phi is implied?统计中等数值题未尝试面试订阅6038Sign and Size of Lag-1 AutocorrelationA stationary spread obeys X (t+1) = -0.4 X t + epsilon (t+1) with iid zero-mean shocks. What is the lag-1 autocorrelation of X t, and what does its sign say about period-to-period dynamics?统计中等数值题未尝试面试订阅6039Ornstein-Uhlenbeck Speed to Discrete CoefficientA spread is modeled in continuous time as a mean-reverting Ornstein-Uhlenbeck process with reversion speed kappa = 0.5 per day. If you sample it once per day and fit an AR(1), what discrete coefficient phi should you expect?统计中等数值题未尝试面试订阅