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Medium · architecture & logic · Quant Researcher interview question · quantitative-finance, market-microstructure, pandas, numpy
The Amihud Illiquidity Ratio serves as a proxy for market liquidity by measuring the price impact per unit of trading volume. This metric captures the intuition that illiquid assets experience larger price fluctuations in response to small trading volumes, making it a crucial indicator for execution strategy and risk management. Task Implement a function solution that calculates the rolling simple moving average (SMA) of the Amihud Illiquidity Ratio over a specified window. The daily ratio is d