Asked at AQR, Jump Trading
Theory: The Learning ProblemRead the problem, hints and solution here. The editor needs a bigger screen: open this page on a laptop to write and run your code.
xxxxxxxx xxxxxxxxxx xx xxx xxxxx x xxxxxxxxxx xxxxxxx xxx xxxxx xxxx xxx xxxxxx xx x xxx xx xx: xxxx xxxx xxxxx xxxx, xxxx xxxx xxxxx xxxx xxx xxxxxx xxxxxxxx, xxxx xxxx xxxxx xx xxx. xxxxxxx xx xx xxxx xx x xxxx xxxxxxxx xxxxxxx xx xxx xx xxxxxx xxxx. xxx xxxx xx xxxx xxx xxxxxxxx, xxx xxx xxxx xx xxxx xxxx xxxx xxxxx xxxxxxxxxxx xxxx xxx xxxxxx xxx xxxxx.
xxxxxxxxx xxxxxxxx_xx(x, x, xx, xxxxx).
x: x xxxx xx xxxxxxx xxxx (xx x xxxx xxxx xxx xxx xxxxxxx), xxxxxxx xx
xxxxxxxxx xxxxxx.x: x xxxx xx xxxxxx, xxxx x xx x.xx: xxx xxxxxxxx xxxx.xxxxx: xxx xxxxxx xx xxxx-xxxxx xxxxxxxx xxxxx xx xxxx.xxx xxxxx xx ( x(x = x xxx x) = xxxxx(x^xxx x) ), xxxxx ( x ) xx xxx xxxxxxx xxx xxxx x xxxxxxx x xxx
[ xxxxx(x) = xxxx{x}{x + x^{-x}} ]
xxx xx xx xxxxxxxxxx xxx xxxx xxxxx-xxxxxxx xxxx xxxx xxxx-xxxxx
xxxxxxxx xxxxxxx, xxx xxxxxx xxx xxxxxxxxx xxxxxx xxxxx xxxxxxx xxxxx
xxxxx xx x xxxx xx xxxxxx xxxxxxx xx x xxxxxxxx, xxxxxxxxx xxxxx.
xx xxxx xxxxx xxxxxxxxxx xxxxx xxx xxxx xxxx, xxx xxxxxxxxx xx xxxxxx: xxxxx xxx xxxxxx xxxxxx ( x ) xxxx x xxxxxxx xxxxxx xx xxxx, xxxxx xxxx xxx-xxxx xxxxxxxxxx, xxx xxxxxx xxxx
[ x xxxxxxxxx x - xxx xxxx xxxx{x}{x} x^{xxx}xxx(xxxxx(xx) - xxxx) ]
xxxxx ( x ) xx xxx xxxxxx xx xxxx. xxxx xx xxx xxxxx xxxxxxxx xx xxx xxxx xxxxx-xxxxxxx
[ x(x) = -xxxx{x}{x} xxx_{x=x}^{x} xxx( x_x xxx x_x + (x - x_x) xxx(x - x_x) xxx), xxxxx x_x = xxxxx(x_x^xxx x) ]
xxxxxxxxx xxxxxxxxx. xxxx xxxxx xxxxx xxx xxxxxx ( xx ) xxxx xxx
xxxx xx xxxxxxxxx. xxxxxxxx ( xxxxx ) xx xxxx xx xxxxx xxxxxxxxx xxxx
xxx / xxx xx xxx: x xxxxxx xxxxxxx xxxx xxxx xxxxxxxxxxxxx x xxxxxx xxxx
xx xxxx xx xxxxxxxx.
xxxxxx xxxxx xxxxxx xxxxxx (xxxxx(xxxxx(x), x)), xxx xxxxx xxxxxxx.
xxxxxxxx_xx([[x], [x], [x]], [x, x, x], x.x, x)
# [x.xxxx, x.xxxx]
x xxxxxx xxxx xxxx xxxx xxxx xxx xxxxxxxx xxxxxxxxxx. xxxx ( x = x ), xxxxx ( x_x ) xx ( x.x ), xx xxx xxxxxxxxx ( x - x ) xxx ( (x.x, -x.x, -x.x) ). xxx xxxxxxxx xx ( xxxx{x}{x}(-x.x, -x) ), xxx x xxxx xx ( x.x ) xxxxxxx xx xxxxx ( (x.xxxx, x.xxxx) ). xxxxx xx xx xxxx xxxxxx xxxxxxx xxxxxxxx.
xxxxxxxx_xx([[x], [x], [x], [x], [x], [x]], [x, x, x, x, x, x], x.x, xxxx)
# [-x.xxxx, x.xxx]
xxx xxxxxxx xxxxxxx (xxx xxxxx xx ( x = x ) xx x xxx xxx xxxxx xx ( x = x ) xx x), xx xxx xxxx xxx x xxxxxx xxxxxxx. xxxxx x,xxx xxxxx xxx xxxxxxxx xxxx xxxxxxx xx xx xxxx xxxxxxxx: xxxx xx xxx xxxxxxx xxxxxxxxxx xxx.
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