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Difficulty: Medium
Category: Data Science
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: linear-algebra, singular-value-decomposition, orthogonal-matrix, data-science
You are building a volatility model that utilizes a covariance matrix decomposition. As part of your process, you need to understand the properties of orthogonal matrices. What are the singular values of a real orthogonal matrix $Q$ ?
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