Top Quant Researcher Interview Questions for QRT Roles
In this article, we will solve and deeply explain two challenging interview questions. You’ll learn how to interpret autocorrelation spikes in time series data and how to critically assess the relationship between correlated variables, such as advertising spend and sales. The explanations will cover underlying concepts, practical steps, and advanced modeling approaches.
You calculate the autocorrelation of a daily time series and observe large spikes at lags 7, 14, 21, and 28. What might this tell you about the underlying process, and what would you investigate next?
Autocorrelation measures how a time series relates to its past values at different lags. The autocorrelation function (ACF) at lag k is:
