Rolling Correlation Matrix Snapshot - Quant Researcher Interview Question
Difficulty: Medium
Category: time_series
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Topics: finance, statistics, pandas, correlation
Problem Description
Understanding dynamic relationships between assets is crucial for risk management and portfolio construction. The rolling correlation matrix captures how asset co-movements evolve over time, allowing for adaptive hedging and diversification strategies.
Task
Implement a function solution(prices, window) that calculates the pairwise Pearson correlation matrix of simple returns for a set of assets based on the most recent window periods. The function must sort asset tickers alphabetically to deter
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