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Medium · statistical_analysis · Quant Researcher interview question · ewma, kurtosis, higher_moments, tail_risk, statistical_analysis
The exponentially weighted moving average (EWMA) is a statistical method that prioritizes recent data points when calculating moments of a time series. In quantitative risk management, an EWMA of the fourth central moment (kurtosis) serves as a highly responsive indicator of tail risk. This allows for faster detection of market regime shifts and stress events compared to standard rolling-window estimators. Task Implement the function ewma_kurtosis(returns: list, decay_factor: float) to compute