Morgan Stanley数据相关面经_Morgan Stanley数据相关面试真题及高频题

1.Determining Rank in Matrix Completion Problem

2.Effect of Data Duplication on Linear Regression

3.Understanding Black-Scholes PDE

4.Almost Surely Convergence vs. Convergence in Probability

5.Choosing Penalty Parameter in Ridge Regression

6.Understanding Ridge Regression

7.CDF, PDF, and Expectation of Maximum of Uniform Distributions

8.Martingale Property Verification

9.Expected Number of Picks to Get Aces

10.Understanding Brownian Motion

1. Determining Rank in Matrix Completion Problem

Discuss how to determine the rank in matrix completion problem and how to connect to finance signal problem.

2. Effect of Data Duplication on Linear Regression

Suppose you have 1000 X and Y and do linear regression, when you duplicate the data twice, then you have 2000 X and Y, how the coefficient beta, R^2, or t-test would change?

3. Understanding Black-Scholes PDE

What is B-S PDE: (how to explain the PDE). If r increases, how about the call option increases (for most cases)?

4. Almost Surely Convergence vs. Convergence in Probability

What is the difference between almost surely convergence and convergence in probability (math definition)?

5. Choosing Penalty Parameter in Ridge Regression

In real application, how to choose penalty parameter (cross-validation)?