JP Morgan Quant Interview Questions
Quantitative research interviews at top financial institutions like JP Morgan Chase (JPMC) and GSA Capital are known for their challenging and insightful questions. These questions assess not only your mathematical and programming skills but also your analytical thinking and understanding of probability theory, algorithms, and optimization. In this article, we’ll dive deep into two real quant interview questions: one from JP Morgan regarding optimal stock trading, and another from GSA Capital involving simulating rare events with biased coins. We'll solve these questions in detail, explain the underlying concepts, and provide clear, step-by-step solutions with relevant code snippets and mathematical explanations.
Given a series of stock prices (e.g., daily closing prices), design an algorithm to determine the best day to buy and the best day to sell, such that you buy before you sell, and the profit is maximized. Only one buy and one sell allowed.
Let’s formalize the problem:
