Jane Street Quantitative Researcher Interview Questions and Answers

Dataset and goal of the assignment was shared. Python coding and explanation in ML was expected.

Q1. Difference VaR and ES
Ans. 
VaR measures the maximum potential loss within a confidence level, while ES measures the expected loss beyond VaR.
• VaR stands for Value at Risk and measures the maximum potential loss within a specified confidence level.

• ES stands for Expected Shortfall and measures the expected loss beyond the VaR.

• VaR is a single point estimate, while ES provides a more comprehensive view of tail risk.

• ES is considered more conservative ...read more
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Q2. List array difference
Ans. 
List the difference between two arrays of strings
• Loop through each element in the first array and check if it exists in the second array

• If an element is not found in the second array, add it to the difference array

• Repeat the process for the second array to find elements in the first array that are not in the second array
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Q3. Arch and garch models
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3 sections consisting maths, prob stats and CS fundamentals

2 easy to medium-level coding questions

Q1. Draw graph of x+(1/x)
Ans. 
Graph of x+(1/x) is a hyperbola with two branches.
• The graph consists of two branches, one in the first quadrant and one in the third quadrant.

• As x approaches positive or negative infinity, the graph approaches the x-axis.

• The graph has a vertical asymptote at x=0.

• The minimum value of the function is 2 when x=1 or x=-1.
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Q2. Questions from the book xinfingzhou
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Q1. 3 coding questions on greedy algorithm
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Q2. 2 coding questions on dynamic programming
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Q1. Questions revolving quantitative finance on bonds, options and black scholes
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Q1. Typical straight forward HR questions
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