Poisson Process Interview Questions for SIG Quantitative Traders
One of the most common frameworks used in systematic trading and quantitative research is the Poisson process, which models random events over time—such as trades, order arrivals, or price jumps. In this article, we’ll delve deep into a real-world SIG Quantitative Systematic Trader interview question involving the Poisson process and event probability.
A Poisson process is a stochastic process that models the occurrence of random events in continuous time. It is widely used in quantitative finance to represent the arrival of market orders, trades, or other discrete events. Mathematically, a Poisson process is characterized by its rate parameter, often denoted as \(\lambda\) (lambda), which represents the expected number of events per unit time.
The Poisson process is defined by the following properties:
