500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
C++ and Python coding challenges for quant developer interviews
Statistical analysis and quantitative modeling problems
Trading MCQs, probability brainteasers, and market scenarios
Practice quant interview questions on MyntBit - the all-in-one quant learning platform. Free questions available for C++ coding, Python problems, probability brainteasers, and trading MCQs.
Difficulty: Medium
Category: data_manipulation
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: corwin_schultz, bid_ask_spread, high_low_estimator, liquidity, microstructure, data_manipulation
Bid-ask spreads are a primary measure of trading costs and liquidity, but direct spread data is often unavailable for historical analysis. The Corwin-Schultz (2012) estimator provides a method to calculate the spread using only daily high and low prices. It isolates the spread component by observing that single-day and two-day price ranges scale differently with volatility. Task Implement the function corwin_schultz_spread(high_prices: list, low_prices: list) -> float to estimate the bid-ask sp
Practice this medium researcher interview question on Myntbit - the all-in-one quant learning platform with 650+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.