Alpha Decay Profile - Quant Researcher Interview Question
Difficulty: Medium
Category: machine_learning
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Topics: pandas, statistics, finance, correlation
Problem Description
Alpha decay quantifies how the predictive power of a trading signal diminishes over time, which is critical for determining optimal holding periods and turnover rates. This profile is typically analyzed by calculating the Information Coefficient (IC) at various time lags to measure the correlation between signals and future returns.
Task
Calculate the mean Information Coefficient (IC) for a trading signal at lags of 1, 5, 10, and 20 days. You are provided with a dictionary containing aligned li
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