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Difficulty: Medium
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: ewma, skewness, higher_moments, tail_risk, statistical_analysis
Financial return distributions exhibit time-varying skewness, which static measures often miss. An exponentially weighted moving average (EWMA) skewness estimator tracks this asymmetry in real-time, allowing risk managers to dynamically adjust hedges. This approach gives more weight to recent data, making it responsive to changing market regimes like crashes or rallies. Task Implement the function ewma_skewness(returns: list, lam: float) to calculate the exponentially weighted skewness of a tim
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