Millennium Quant Analyst Interview Questions: What to Expect
In this article, we will explore and solve two advanced interview questions from Millennium quant interview process. We will explain the underlying concepts in detail, provide step-by-step solutions, and discuss practical considerations relevant to real-world financial modeling.
Question: You build a forecasting model and obtain an excellent \(R^2\). However, when you plot the two variables over time, both appear to have strong upward trends. What concerns would you have, and what additional analysis would you perform?
A high \(R^2\) value typically suggests a good fit between the model and the data. However, in time series analysis, apparent relationships can be misleading if the data exhibit strong trends or non-stationarity. This phenomenon is commonly known as spurious regression.
