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Easy · data_manipulation · Quant Researcher interview question · data-manipulation, factor-construction, z-score, winsorisation, numpy
Cross-sectional z-scoring is a standard technique for normalizing equity factor data, such as book-to-market ratios. To mitigate the impact of extreme outliers, quant researchers often apply winsorisation before standardizing the data. This process ensures a more robust factor distribution for use in downstream alpha models. Task Implement the function solution(bm_ratios: listfloat, winsorize: bool = True) -> listfloat to calculate the cross-sectional z-score of book-to-market ratios. If winsor