500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
Statistical analysis and quantitative modeling problems
Trading MCQs, probability brainteasers, and market scenarios
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Difficulty: Medium
Category: backtesting
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: backtesting, spearman, information-coefficient, signal-decay, ranking
Rank Information Coefficient (IC) decay quantifies how quickly a signal's predictive power diminishes over successive time periods, a critical analysis for determining optimal holding periods in systematic strategies. It is calculated using Spearman rank correlation, an outlier-resistant metric that assesses the monotonic relationship between a signal and future returns. This analysis forms the empirical basis for signal weighting and alpha decay modeling in quantitative equity research. Task I
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