drw | | Interview Experience
Interview Date: Not specified
Result: Not specified
Difficulty: Not specified
Interview Process
The interview consisted of a technical discussion focusing on probability and statistics, particularly involving standard normal distributions. The candidate was asked to create a market for two variables derived from a standard normal variable, Z. The candidate calculated the expected value and discussed the spread for both variables, Y1 and Y2, while receiving guidance from the interviewer.
Technical Questions
- Market Creation: Given Z standard normal, define Y1 and Y2 and create a market for them.
- Y1 = 1 if |Z| < 1 else 0
- Y2 = Z^2
- Expected Value Calculation: Calculate E[Y1] and E[Y2].
- Spread Determination: Discuss how to determine the spread based on confidence and risk.
- Correlation Analysis: Analyze the correlation between Y1 and Y2.
Tips & Insights
- When determining spreads, consider the volatility of the variables involved.
- Visual aids, such as graphs, can help clarify relationships between variables.
- Understanding the statistical properties of the distributions is crucial for accurate calculations.