500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Easy
Category: statistical_analysis
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: market_microstructure, liquidity_measurement, asset_pricing, transaction_costs, factor_construction
The Amihud illiquidity ratio (2002) measures the daily price impact per unit of dollar trading volume and is one of the most widely used proxies for market illiquidity in empirical asset pricing research. A higher ratio indicates that a given dollar volume of trading causes larger price movements, signaling thinner markets and higher transaction costs. Quant researchers use this metric for cross-sectional liquidity factor construction, transaction cost modeling, and detecting regime shifts in ma
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