Parkinson Volatility Estimator - Quant Researcher Interview Question
Difficulty: Medium
Category: time_series
Asked at: D.E. Shaw, Citadel, Two Sigma, WorldQuant, G-Research
Topics: volatility, finance, technical-indicators, numpy, pandas
Problem Description
The Parkinson Volatility estimator is a high-low volatility measure that incorporates intraday price ranges to provide a theoretically more efficient variance estimate than close-to-close calculations. By utilizing the extreme values of an asset's price over a specific period, this metric offers deeper insight into market dynamics and risk assessment for quantitative trading strategies.
Task
Implement a function solution(highs, lows, window) that calculates the rolling Parkinson volatility for
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