Quantitative Trading Interview Questions

447 quantitative trading interview questions shared by candidates

Suppose you have 100 predictors on the price of a product. After running 100 univariate regressions, you found five significant predictors (type I less than 5%). Would you use these to make your trade decisions? Why or why not? Assuming all the predictors are not correlated in any way, how is it different from the multivariate model with 100 predictors? What is the number of significant predictors you will get in this model? Is it five?
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Quantitative Research and Trading Intern

Interviewed at Quantedge

4.5
Apr 22, 2022

Suppose you have 100 predictors on the price of a product. After running 100 univariate regressions, you found five significant predictors (type I less than 5%). Would you use these to make your trade decisions? Why or why not? Assuming all the predictors are not correlated in any way, how is it different from the multivariate model with 100 predictors? What is the number of significant predictors you will get in this model? Is it five?

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