Tag: time-series
Concepts
Interview Questions
- As-of join with a staleness cap
- Forward as-of join for markout
- Reconstruct the prevailing spread at each trade
- Bucket trades by quote regime
- As-of join of trades and quotes
- Count out-of-order pairs in a price series
- Exponential moving average of a tick stream
- Time-based key-value store
- Daily price span with a monotonic stack
- Streaming variance without storing the data
- Rolling median across a sliding window
- Count price windows whose product stays under a cap
- Aggregate raw ticks into OHLC bars
- First quote at or after a timestamp
- Count requests in the last five minutes
- Which trading session contains a timestamp?
- Time-based key-value store
- Computing a lag-1 sample autocorrelation
- The autocorrelation of an AR(1) process
- The autocorrelation of an MA(1) process
- Autocorrelation, definition, estimation, and the returns puzzle
- Resampling returns without destroying their memory
- Why k-fold cross-validation lies on time series
- Two things that rise together but share nothing
- Why a random walk with drift is nonstationary
- Trend-stationary versus difference-stationary
- Classify these processes as stationary or not
- The spurious regression trap
- Stationarity, what it means and why models demand it