h******2
发帖数: 43 | 1 GENERAL LOGIC
On which of the two days of the week, Saturday or Sunday, does New Year’s
Day
fall more often?
QUANT KNOWLEDGE
Find a formula to price the following fixed-odds bet (in a Black & Scholes
pricing
framework): I wish to win ♦ if over the next ♦ days, the ♦
has a high-low range
[exceeding/not exceeding] ♦ points.
Implement the formula in the programming language of your choice.
Example: I wish to win $1000 if over the next 7 days the USD/JPY has a high-
low range exceeding 2
points.
For example, if the USD/JPY has a range of low=98.45 and high=100.98 over
the next 7 days, I will
win $1000 (because high – low = 2.53 > 2).
CODING KNOWLEDGE
A high-traffic e-commerce website such as BetOnMarkets.com requires robust
and
quality code.
Please review the following code and list all the problems that you see with
it.
Please list all the coding errors/poor coding practices that you can see in
this
code.
sub output()
{
print ""
$conn = mysql_connect( "mysql.foo.org:412", "kum", "overmoon" );
mysql_select_db( "kum", $conn ); #selects a database
$q = " SELECT * FROM main WHERE id > " . $_GET["id"]. ";";
$res = mysql_query( $q, $conn);
while( $row = mysql_fetch_assoc($res) )
{
print "- ".$row['description']."
";
}
print "
";
$q = " SELECT * FROM main WHERE id < " . $_GET["id"]. ";";
$res = mysql_query( $q, $conn);
while( $row = mysql_fetch_assoc($res) )
{
print "- ".$row['description']."
";
}
print " ";
}
Recruitment questionnaire – Quantitative Analyst, BetOnMarkets 4
WEBSITE PRICING REVIEW
Please review a sampling of bet prices on betonmarkets.com, and give your
critique
thereof. How far do you believe prices could be improved? What challenges do
you
believe you would encounter? |
D********n
发帖数: 978 | 2 简单起见，假设一年有365 + 1/4 - 1/100 + 2/900天。那么900年有328718天，这个数
和7是互素的，因此Sat and Sun或者星期中的任何一天都是一样的。
Year’s
Scholes
9830;
【在 h******2 的大作中提到】
: GENERAL LOGIC
: On which of the two days of the week, Saturday or Sunday, does New Year’s
: Day
: fall more often?
: QUANT KNOWLEDGE
: Find a formula to price the following fixed-odds bet (in a Black & Scholes
: pricing
: framework): I wish to win ♦ if over the next ♦ days, the ♦
: has a high-low range
: [exceeding/not exceeding] ♦ points.
|
n******m
发帖数: 169 | 3 按简单的常识，4年一轮回，3个365，1个366。元旦那天的星期数的pattern是4个连着
，然后跳过一个，然后4个连着。。。。 5跟7互素，7个轮回之后回到原始状态，其中
每个星期数都被跳过1次。机会相同。 |
g***e
发帖数: 577 | 4 2nd problem seems hard.
v = v( t, s, a, b ), s(t) stock price, a(t) max up to t, b(t) min up to t,
2nd order PDE with 4 boundary conditions.
9830;
【在 h******2 的大作中提到】
: GENERAL LOGIC
: On which of the two days of the week, Saturday or Sunday, does New Year’s
: Day
: fall more often?
: QUANT KNOWLEDGE
: Find a formula to price the following fixed-odds bet (in a Black & Scholes
: pricing
: framework): I wish to win ♦ if over the next ♦ days, the ♦
: has a high-low range
: [exceeding/not exceeding] ♦ points.
|
h******2
发帖数: 43 | 5 这是大投行的题目，怎么没有多少人感兴趣啊？
9830;
【在 h******2 的大作中提到】
: GENERAL LOGIC
: On which of the two days of the week, Saturday or Sunday, does New Year’s
: Day
: fall more often?
: QUANT KNOWLEDGE
: Find a formula to price the following fixed-odds bet (in a Black & Scholes
: pricing
: framework): I wish to win ♦ if over the next ♦ days, the ♦
: has a high-low range
: [exceeding/not exceeding] ♦ points.
|
n******m
发帖数: 169 | 6 因为第2题不会，第3题貌似不是c++,读不了，第4题看不懂。。。。 |
p*******o
发帖数: 3564 | 7 Can you explain where the number 2/900 comes from? I know years of format "*
*00" has 366 days only if they are multiples of 400.
【在 D********n 的大作中提到】
: 简单起见，假设一年有365 + 1/4 - 1/100 + 2/900天。那么900年有328718天，这个数
: 和7是互素的，因此Sat and Sun或者星期中的任何一天都是一样的。
:
: Year’s
: Scholes
: 9830;
|
c****o
发帖数: 1280 | 8 perl script using DBI modulo
【在 n******m 的大作中提到】
: 因为第2题不会，第3题貌似不是c++,读不了，第4题看不懂。。。。
|
a********e
发帖数: 508 | 9 1. more often on Sunday. Need to check what day it is on 2000 Jan 1st
2. the formula is quite complicated that can take quite some time to derive.
seems hard to finish during an interview
9830;
【在 h******2 的大作中提到】
: GENERAL LOGIC
: On which of the two days of the week, Saturday or Sunday, does New Year’s
: Day
: fall more often?
: QUANT KNOWLEDGE
: Find a formula to price the following fixed-odds bet (in a Black & Scholes
: pricing
: framework): I wish to win ♦ if over the next ♦ days, the ♦
: has a high-low range
: [exceeding/not exceeding] ♦ points.
|
p*********9
发帖数: 277 | 10 The first problem: tested in Matlab within 2000 years and 200000 years
Starting from 1980-1-1, Tuesday
Within 2000 years: New Year on Sun (285 times) on Sat (284 times)
Within 20000 years: On Sun (2852 times), on Sat (2860times)
Within 2000000 years: On Sun (285712 times), on Sat (285716 times) |
a********e
发帖数: 508 | 11 不知道你怎么run的。害我刚刚在不同软件里run了一下，发现你的结果不对
【在 p*********9 的大作中提到】
: The first problem: tested in Matlab within 2000 years and 200000 years
: Starting from 1980-1-1, Tuesday
: Within 2000 years: New Year on Sun (285 times) on Sat (284 times)
: Within 20000 years: On Sun (2852 times), on Sat (2860times)
: Within 2000000 years: On Sun (285712 times), on Sat (285716 times)
|
p*********9
发帖数: 277 | 12 Sorry, corrected. Programmed in Matlab. |
a********e
发帖数: 508 | 13 why don't you try matlab's built-in date function instead of writing your
own
【在 p*********9 的大作中提到】
: Sorry, corrected. Programmed in Matlab.
|
