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Easy · statistical_analysis · Quant Researcher interview question · rank_correlation, spearman, signal_quality, factor_ic, statistical_analysis
Spearman's rank correlation, or Spearman's rho, is a non-parametric measure of the monotonic relationship between two variables. In quantitative finance, it is a crucial tool for analyzing factor signals in systematic equity strategies, as it is robust to the outlier returns that can distort linear correlation measures. Its application ranges from signal quality analysis to Information Coefficient (IC) forecasting. Task Implement the function spearman_rank_correlation(x: list, y: list) -> float