D.E. Shaw Quant Research Interview Questions with Solutions
In this article, we will deeply analyze and solve two classic quant research interview questions often encountered at D.E. Shaw. We will walk through the mathematical concepts, modeling choices, and interpretive techniques involved in each, including Gaussian Processes, covariance functions, and the art of time series analysis using ACF and PACF plots.
Question Restated: You have only a few hundred observations of a continuous process. You don't believe the relationship between x and y is well described by a simple linear or polynomial function. You also expect observations that are close together in x to have more similar y values. How could you build a model that captures this assumption while also providing uncertainty estimates for its predictions?
This question challenges you to build a regression model for a continuous process with the following constraints:
