Rolling Beta Calculation - Quant Researcher Interview Question
Difficulty: Medium
Category: statistical_analysis
Asked at: Interactive Brokers, Citadel, Two Sigma, BlackRock, Citadel Securities, AQR Capital Management, Goldman Sachs, Millennium
Topics: finance, time_series, pandas, statistics
Problem Description
Beta measures the volatility of an asset relative to a benchmark, serving as a key metric in the Capital Asset Pricing Model (CAPM) for assessing systematic risk. In quantitative trading, calculating rolling beta allows analysts to monitor how an asset's sensitivity to market movements evolves over time, identifying regime changes or dynamic hedging requirements.
Task
Implement a function solution that calculates the rolling beta of a target asset against a benchmark over a specified time windo
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