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Hard · statistical_analysis · Quant Researcher interview question · unit_root, augmented_dickey_fuller, stationarity, cointegration, statistical_analysis
The Augmented Dickey-Fuller (ADF) test is a standard statistical tool in quantitative finance used to test for stationarity in a time series. It is crucial for validating mean-reversion trading strategies by confirming that a price series or spread is not a random walk. A sufficiently negative test statistic indicates the series is likely mean-reverting. Task Implement the function adf_test_statistic(series: list, lags: int) -> float to calculate the t-statistic for the Augmented Dickey-Fuller