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Practice/Quant

Quant. In order.

Ratios, filters and simulations — the instruments the workbench runs.

10 problems~4.5h3 easy3 medium4 hard
start next →↗ read the theory
paper only · educational · not advice
  1. ○
    11Sharpe ratio, annualised

    Mean excess return over its volatility, scaled to a year of trading days.

    easy15 minstart →
  2. ○
    12Rolling z-score

    How many standard deviations is today from its trailing window?

    easy15 min
  3. ○
    13Hurst exponent by R/S

    Trend, noise or reversion — estimate H from rescaled ranges.

    hard40 min
  4. ○
    14Kalman filter for a price level

    Predict, observe, correct — track a noisy price with a single state.

    hard40 min
  5. ○
    15Monte Carlo VaR

    Simulate tomorrow ten thousand times and read off the 5th percentile.

    medium25 min
  6. ○
    16Bollinger bands

    A moving average with ±k standard-deviation envelopes around it.

    easy10 min
  7. ○
    17Half-life of mean reversion

    Fit an AR(1) to the spread and convert φ into days-to-halve.

    medium25 min
  8. ○
    18Pairs spread & cointegrationPro

    Hedge ratio by regression, then test the residual for stationarity.

    hard45 min
  9. ○
    19Heston Monte Carlo pricerPro

    Stochastic volatility with five parameters — price it by simulation.

    hard45 min
  10. ○
    20Linear-regression channel

    Fit a line through the closes and draw ±σ rails around it.

    medium20 min