Rolling Z-Score Signal - Quant Researcher Interview Question
Difficulty: Easy
Category: data_manipulation
Asked at: Point72, Citadel, WorldQuant, Two Sigma, AQR Capital Management, Millennium
Topics: pandas, statistics, feature_engineering, z-score
Problem Description
The Z-score is a dimensionless statistical measure quantifying a value's distance from the mean in terms of standard deviations. In quantitative finance, rolling Z-scores are pivotal for mean-reversion strategies, identifying price extremes relative to recent history to generate buy or sell signals.
Task
Implement a function solution that calculates the rolling Z-score for a pandas Series of prices over a specified window size $N$. The function must compute the rolling mean and sample standard
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