Spot and Volatility Return Correlation - Quant Trader Interview Question
Difficulty: Medium
Category: Finance
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: correlation, volatility, leverage-effect, equity-markets
Problem Description
In equity markets, what is the typical sign of the correlation between spot price returns and volatility returns, and why?
Consider the 'leverage effect' when answering.
Practice this medium trader interview question on MyntBit - the all-in-one quant learning platform with 200+ quant interview questions for Jane Street, Citadel, Two Sigma, and other top quantitative finance firms.