500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
Statistical analysis and quantitative modeling problems
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Difficulty: Easy
Category: time_series
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Topics: time-series, statistics, hypothesis-testing, ols, stationarity
The Augmented Dickey-Fuller (ADF) test is a statistical procedure used to test for a unit root in a time series, which indicates non-stationarity. In quantitative finance, establishing stationarity is a crucial prerequisite for building mean-reversion models, pairs trading strategies, and valid OLS factor models. This test extends the standard Dickey-Fuller test by including lagged differences of the series to account for serial correlation. Task Implement the function solution(prices: list, k:
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