Quantitative Analyst Interview Questions

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Given the daily return for past year(approximately 250 trading days) of the 500 componential stocks from S&P 500, we have 500*499/2 = 124750 correlation coefficients, What is the distribution of these coefficients? 1. Is it symmetric? 2. Is it shifting to the right or changing its shape? 3. Does it have a fatter tail than Gaussian? Why? 4. How to estimate the correlations? 5. Give me an estimate of the expectation of the correlations.
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Quantitative Researcher

Interviewed at WorldQuant

4.1
Dec 14, 2016

Given the daily return for past year(approximately 250 trading days) of the 500 componential stocks from S&P 500, we have 500*499/2 = 124750 correlation coefficients, What is the distribution of these coefficients? 1. Is it symmetric? 2. Is it shifting to the right or changing its shape? 3. Does it have a fatter tail than Gaussian? Why? 4. How to estimate the correlations? 5. Give me an estimate of the expectation of the correlations.

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