Hard · Statistics & Statistical Inference · Numerical · ~10 min · #91

From Correlation to Win Rate

Real interview · Citadel

You trade an index using only the sign of your model's prediction. Predictions and index moves are jointly normal with mean zero and correlation $0.5$ . What fraction of your trades win?

Hints · 0 of 2 shown

Worked solution

Give the problem an honest attempt first, then reveal the full explanation.

Reported in interviews

CitadelGlassdoor interview question
Reported for general correlation x. We assume joint normality and fix x = 0.5.

Candidate-reported and unverified; the firm may phrase it differently or no longer ask it. The wording here is our own paraphrase, and the solution was written and checked independently of any answers posted at the source.

Concepts

Bivariate normalSheppard's formula

Relevant for

Quant ResearcherQuant Trader