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5330Incremental VaR From Adding Third DeskDesk A and Desk B have aligned scenario losses A=[1, 3, 2, 5] and B=[1, 1, 3, 1]. A new Desk C with losses [1, 0, 2, 0] is proposed. Historical VaR is computed at alpha=0.75 using the ceil(alpha*n) convention. By how much does portfolio VaR increase after adding Desk C to the existing A+B portfolio?金融与交易中等数值题未尝试面试订阅5331Covariance Contribution Implied By VaR BudgetA Gaussian portfolio uses z=2.0 and has total volatility 0.25. A position currently has weight 0.4, and the risk committee gives it a component VaR budget of 0.08. What covariance contribution (Sigma w) i would exactly exhaust that budget?金融与交易困难数值题未尝试面试订阅5361Why Overbetting Hurts More Than UnderbettingWhy is betting above full Kelly usually worse for long-run growth than betting the same distance below full Kelly?金融与交易中等essay未尝试面试订阅5362Why Edge Uncertainty Shrinks SizeEven if your point estimate suggests a positive full-Kelly fraction, why might a real desk still scale down the position materially?金融与交易中等essay未尝试面试订阅5363Same Expected Value Different KellyTwo trades can have similar expected value per dollar risked but very different full-Kelly fractions. Why?金融与交易中等essay未尝试面试订阅5364Why a Leverage Cap BindsWhy can a leverage cap matter even when the theoretical full-Kelly fraction is well below 100% on one trade?金融与交易中等essay未尝试面试订阅5365Why Zero Kelly Can Be CorrectWhat kinds of changes can turn a seemingly attractive trade into a zero-Kelly trade without flipping the raw headline narrative?金融与交易中等essay未尝试面试订阅5381Spread Component Mix 1A dealer models the half-spread as order-processing cost 0.008, inventory cost 0.004, and information cost 0.003. What quoted full spread does this imply, and what percentage of the half-spread comes from information risk?金融与交易中等数值题未尝试面试订阅5386Why Narrow Quoted Spread Can Still Be BadWhy can a stock show a narrow quoted spread but still deliver poor execution quality to liquidity takers?金融与交易中等essay未尝试面试订阅5387Why Large-Tick Names Stay WideWhy do large-tick names often sit at the minimum spread for long periods?金融与交易中等essay未尝试面试订阅5388Why Realized Spread ShrinksWhy does realized spread usually fall below effective spread when trades are informationally toxic?金融与交易中等essay未尝试面试订阅5389Why Midpoint Timing MattersWhy can the measured realized spread change materially depending on whether you use the midpoint 1 second later or 30 seconds later?金融与交易中等essay未尝试面试订阅5390Why Price Improvement Is Not EnoughA trade executes inside the NBBO and gets price improvement. Why is that not enough to conclude the trade was cheap?金融与交易中等essay未尝试面试订阅5396No-Loss Quote After Order Flow 1Value is either 99 or 101 with prior P(high)=0.5. If value is high, the probability of a buy order is 0.82; if value is low, it is 0.28. You observe a buy order and must set the break-even ask. What price avoids expected loss?金融与交易中等数值题未尝试面试订阅5397No-Loss Quote After Order Flow 2Value is either 49 or 51 with prior P(high)=0.45. If value is high, the probability of a sell order is 0.22; if value is low, it is 0.75. You observe a sell order and must set the break-even bid. What price avoids expected loss?金融与交易中等数值题未尝试面试订阅5400No-Loss Quote After Order Flow 5Value is either 149 or 151.5 with prior P(high)=0.35. If value is high, the probability of a buy order is 0.77; if value is low, it is 0.24. You observe a buy order and must set the break-even ask. What price avoids expected loss?金融与交易中等数值题未尝试面试订阅5411Why Getting Hit Is Bad NewsWhy does a passive market maker often interpret being lifted or hit as bad news about value?金融与交易中等essay未尝试面试订阅5412Why Spreads Widen Before EventsWhy do dealers often widen materially ahead of earnings or macro releases even if the pre-event midpoint looks calm?金融与交易中等essay未尝试面试订阅5413Why Noise Flow Helps MakersWhy does a higher fraction of uninformed noise flow usually make passive quoting more profitable?金融与交易中等essay未尝试面试订阅5414Why Price Improvement Can Be ToxicWhy can an aggressive dealer who price-improves by a tiny amount still lose money if the flow is informed?金融与交易中等essay未尝试面试订阅