Bootstrapping vs Analytical CI - Quant Trader Interview Question
Difficulty: Medium
Category: Statistics & Regression
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Topics: statistics, bootstrapping, confidence-interval, trading-strategy
Problem Description
You are building a trading strategy that relies on accurately estimating the confidence interval of a novel, complex, and highly non-linear signal derived from alternative data sources. This signal exhibits significant skewness and kurtosis. You have a limited sample size of 100 observations. You want to choose the best approach for constructing a 95% confidence interval for the mean of this signal. Under what circumstances would you prefer bootstrapping to an analytical confidence interval?
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