About this question
Medium · time_series · Quant Researcher interview question · realized_variance, signature_plot, microstructure, volatility, high_frequency
The signature plot is a diagnostic tool for realized variance estimation. By computing realized variance at multiple sampling frequencies, researchers can detect microstructure noise: the RV estimate typically inflates at the highest frequencies and stabilises at coarser intervals, guiding the choice of optimal sampling frequency. Task Implement the realized_variance_signature function, which takes a list of log_prices (float) and a list of sampling_intervals (int) and computes realized varianc