The test is closed book, closed notes, closed calculator. We will provide all of the numbers you need.
- Chapters in book: Chapters 1, 2, 3, 4
- Term Frequency, tf: Given an example sentence, compute the tf for each word.
- idf: Provide the equation defining iff.
- KNN: Are you more likely to overfit if K = 1 or if K = 10? Why?
- Overfitting: Given a graph that shows in-sample error and out-of-sample error as a factor of degrees of freedom, identify the region where overfitting is occurring.
- Name and describe two incentives for hedge fund managers. In other words, do they get paid?
- Name and describe two metrics for assessing strategy or fund performance.
- Assume the numpy array price contains rows of daily prices for a stock. Write a single line of python to convert it into daily returns, for instance:
- daily_rets = price XXXXXXXXX
- Write an equation for Sharpe Ratio based in terms of daily returns, daily_rets. Assume the daily risk free return is 0.0.
- Does the equation for Sharpe Ratio change if the trading period was 40 days versus 30?
- Consider the order book below. What average, total price would a market order to sell 100 shares result in?
- If you sell 100 shares of IBM short. You owe somebody something. What is it that you owe them?