1,000+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Hard
Category: machine_learning
Practice quant interview questions from top firms including Jane Street, Citadel, Two Sigma, DE Shaw, and other leading quantitative finance companies.
Topics: information_theory, time_series, causality, statistics
Identifying non-linear causal relationships between assets is crucial for pairs trading, lead-lag analysis, and market microstructure. Transfer Entropy (TE) is a non-parametric measure based on information theory that quantifies directed, asymmetric information transfer between time series, capturing relationships that standard correlation misses. Task Implement a function solution that calculates the Transfer Entropy from a source time series prices_x to a target time series prices_y. The calc
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