Amihud Illiquidity Ratio - Quant Researcher Interview Question
Difficulty: Medium
Category: architecture & logic
Asked at: AHL, DFA, Two Sigma, BlackRock, AQR Capital Management, Millennium
Topics: quantitative-finance, market-microstructure, pandas, numpy
Problem Description
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
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