Millennium Management Quantitative Researcher Interview Questions and Answers

Q1. Finance, probability
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Q1. Tell me about your previous experience
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Q2. Have you ever worked with machine learning algorithms?
Ans. 
Yes, I have experience working with machine learning algorithms in various projects.
• I have implemented supervised learning algorithms such as linear regression, logistic regression, and support vector machines.

• I have also worked with unsupervised learning algorithms like k-means clustering and principal component analysis.

• I have experience with deep learning algorithms such as neural networks and convolutional neural n...read more
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Dataset and goal of the assignment was shared. Python coding and explanation in ML was expected.

Q1. Tell me about your past work experience
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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
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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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Q1. 1) What is attention mechanism (since it was mentionned in my resume) 2) What is the sde of the Heston model? 3) What is implied volatility? 4) What is PCA (machine learning question)? 5) How matrices are...read more
Ans. 
Answers to various quantitative research questions
• Attention mechanism is a key component in deep learning models that allows the model to focus on specific parts of the input sequence.

• SDE stands for Stochastic Differential Equation in the context of the Heston model used in quantitative finance.

• Implied volatility is the market's expectation of future volatility implied by the prices of options.

• PCA (Principal Component ...read more
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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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