Jane Street Interview? SOLVE THIS! | Quant Interview Questions #9

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Step-by-step walkthrough of a technical interview question involving the leveraging of the positive semi-definiteness property of a correlation matrix constructed from 3 random variables

This question is suitable as practice for Quant Trading, Quantitative Researcher, Quantitative Developer, Desk Quant and Data Scientist technical interviews

Question:
There are 3 random variables, X , Y and Z. The correlation between X and Y is 0.8. The correlation between X and Z is 0.8. What is maximum and minimum correlation between Y and Z?

Timestamps:
0:00 - Intro

Free Resources:

More information on Positive-Semi-Definiteness Criterion:

Question Source:
[Quant Interview Question at Jane Street | Correlation Matrix:

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