Quant Python

Alpha Decay: Information Coefficient by Horizon

Premium
Difficulty

Asked at Two Sigma, WorldQuant

Theory: Quant Python That Survives Review

Read the problem, hints and solution here. The editor needs a bigger screen: open this page on a laptop to write and run your code.

xxxxxxxxx xx_xx_xxxxxxx(xxxxxx, xxxxxx, xxxxxxxx). xxx xxxx xxxxxxx xx xxxxxxx xxx xxxxxxxxxxx xxxxxxxxxxx: xxx xxxxxxxxxxx xxxxxxx xxx xxxxxx xxx xxx xxxxxx xxxx xxxxxxx xx.

x xxxxxx xxxx xxxxxxxx xxx xxxx xxxx xx xxxxx xxxxxxx xx x xxxx xxxx xxxxx x xxx xx xxxxx xxx xxxxxxxx. x xxxxxx xxxx xxxxx xxxxxxxx xxxx xxxxx xx xxxxx x xxxxx xxxx xx x xxxx xxxx xxxxxx xxxxxx. xxx xxxxx xx xxxxxxxxxx xxxxx xxxxxxx xxxxxxx xxxxx xxxxxxx xxx x&x xx xxxxx xxxxxxxx xxx xxxx xx xxxxx xx xxxxx.

  • xxxxxx: x xxxx xx xxxxxx, xxx xxx xxxxxxxxxxx.
  • xxxxxx: x xxxx xx xxxxxxxx xxxxxx, xxxxxxx xxxx xxxxxx xx xxxx xxxxxx[x] xxx xxxxx xx xxx xxxx xx xxxxxx[x].
  • xxxxxxxx: x xxxx xx xxxxxxxx xxxxxxxx, xx xxx xxxxx.

xxx xxxx xxxxxxx ( x ) xxx xxxxxxx xxxxxx xx ( x ) xx

[ x_{x,x} = xxxx{x_{x+x}}{x_x} - x, ]

xxxxx xxxxxx xxx xxxxx ( x ) xxxx ( x + x ) xxxxxx xxx xxxxxx. xxx xxxxxxxxxxx xxxxxxxxxxx xx ( x ) xx xxx xxxxxxx xxxxxxxxxxx xxxxxxx ( x_x ) xxx ( x_{x,x} ) xxxx xxx xxxx ( x ). xxxxxx xxx xxxxx xxx xxxxxxx, xx xxx xxxxx xxxxx, xxxx xxxxxxx xx x xxxxxxxx.

x xxxxxxx xxxx xxxxx xxxx x xxxxxx xxxxxx xxx xx xxxxxxxxxx xxxxxxxxxxx, xxx xxxxxxx xxxx xxx xxxxx xxxxxx xxxx xxx xxxx xxxxxxxx (x xxxxxxxx xxxxxx, xx xxxxxxx xxxxxxx xxxx xxx xxx xxxxx). xxxxxx x.x xxx xxxxx, xxx xxxxx xxxxx xx xxxxxx xxx.

xxxxxxxx

xx_xx_xxxxxxx([x.x, x.x, -x.x, x.x, x.x, -x.x, x.x, x.x, -x.x, x.x, x.x, x.x],
              [xxx, xxx, xxx, xxx, xxx, xxx, xxx, xxx, xxx, xxx, xxx, xxx],
              [x, x, x])
# [x.xxxxx, x.xxxxxx, -x.xxxxx]

xx_xx_xxxxxxx([xxx / xxx - x, xxx / xxx - x, xxx / xxx - x, xxx / xxx - x,
               xxx / xxx - x, xxx / xxx - x, xxx / xxx - x, x.x],
              [xxx, xxx, xxx, xxx, xxx, xxx, xxx, xxx],
              [x, x])
# [x.x, x.xxxxxx]

xxx xxxxx xxxxxx xxxxx xxx xxxx xxx'x xxxx xxxx, xxx xxxx xxx xxxx xxx xxxxxx, xxx xx xxxxx xxxx xx xxxxxxx xxxxxxx. xxx xxxxxx xxxxxx xx xxxxxxx xxx xxxx xxxxxx, xx xxx xxx-xxx xx xx x xx xxxxxxxxxxxx.

xxxxxxxxxxx

  • ( x xx xxxx{xxx(xxxxxx)} = xxxx{xxx(xxxxxx)} xx x xxxxx xx^x + x ), ( x xx xxxx{xxx(xxxxxxxx)} xx xx ) xxx ( x xx x xx xx^x ).
  • xxxxx xxxx xxxxxxxxxxx xxxx xxxxx(xxxxx(x), x).
  • xxxxxxxxx xx xxx xxxxx xxxxxxx. xxx xxxxxx xx ( x ) xx xxxxxx xxxx xxx xxxxxx xxxx xxxxxx xx ( x ), xxx xxx xxx xxxx xxxx xxxxx. x xxxxxxxx xxxx xxxxx ( x_x ) xxxx ( x_x / x_{x-x} - x ) xxxxxxxx xxx xxxx xxx xxxxxx xxxxxxxx xxx xxxx, xxx xxx xxxxxx xxxx xxxxxx x xxxxxxx x xxxxx xxxx xxxxxxxxx xxxxx xxx xxxxx xxxxxx xx xxxxxxxx xxxxxxxx.
  • xxx xxxxxx xxxxxxxxxxx xxxx xxx xxx,xxx xxxxxx xxx xx xxxxxxxx. xxxx xxxxxxx xx xxx xxxxxxxxxx xxxxxxxxxxx xx xxxxx; x xxxxxx xxxx xxxx ( x ) xxx xxxxx xxxxxxx xxxx xxx xxxxxxx xxxxxxx.

This problem is only available to subscribers.

Language: Python 3.12ic_by_horizon

Unlock the problem to run it against the tests.