Tuesday, August 30, 2016

Some thoughts on quant interviews

Being a curmudgeonly quant, I started reacting to people who "love" science and math with simple Post-It questions like this:

(This is not a gotcha question, all you need is to apply Pythagorean theorem twice. I even picked numbers that work out well. Yes, $9 \sqrt{2}$ is a number that works out well.)

Which reminds me of quant interviews and their shortcomings.

I already wrote about what I think is the most important problem in quantitative thinking for the general public, in Innumeracy, Acalculia, or Numerophobia, which was inspired by this Sprezzaturian's post (Sprezzaturian was writing about quant interviews).

In search of quants

That was for the general public. This post is specifically about interviewing to determine quality of quantitative thinking. Which is more than just mathematical and statistical knowledge.

One way to test mathematical knowledge is to ask the same type of questions one gets in an exam, such as:

$\qquad$ Compute $\frac{\partial }{\partial x} \frac{\partial }{\partial y} \frac{2 \sin(x) - 3 \sin(y)}{\sin(x)\sin(y)}$.

Having interacted with self-appointed "analytics experts" who had trouble with basic calculus (sometimes even basic algebra), this kind of test sounds very appealing at first. But its focus in on the wrong side of the skill set.

Physicist Eric Mazur has the best example of the disconnect between being able to answer a technical question and understanding the material:

TL; DR: students can't apply Newton's third law of motion (for every action there's an equal and opposite reaction) to a simple problem (car collision), though they can all recite that selfsame third law. I wrote a post about this before.

Testing what matters

Knowledge tests should at the very least be complemented with (if not superseded by) "facility with quantitative thinking"-type questions. For example, let's say Bob is interviewing for a job and is given the following graph (and formula):

Nina, the interviewer, asks Bob to explain what the formula means and to grok the parameters.

Bob Who Recites Knowledge will say something like "it's a sine with argument $2 \pi \rho x$ multiplied by an exponential of $- \kappa x$; if you give me the data points I can use Excel Solver to fit a model to get estimates of $\rho$ and $\kappa$."

Bob Who Understands will start by calling the graph what it is: a dampened oscillation over $x$. Treating $x$ as time for exposition purposes, that makes $\rho$ a frequency in Hertz and $\kappa$ the dampening factor.

Next, Bob Who Understands says that there appear to be 5 1/4 cycles between 0 and 1, so $\hat \rho = 5.25$. Estimating $\kappa$ is a little harder, but since the first 3/4 cycle maps to an amplitude of $-0.75$, all we need is to solve two equations, first translating 3/4 cycle to the $x$ scale,

$\qquad$ $ 10.5 \,  \pi x = 1.5 \,  \pi$ or  $x= 0.14$

and then computing a dampening of $0.75$ at that point, since $\sin(3/2 \, \pi) = - 1$,

$\qquad$  $\exp(-\hat\kappa \times 0.14) = 0.75$, or $\hat \kappa = - \log(0.75)/0.14 = 2.3$

Bob Who Understands then says, "of course, these are only approximations; given the data points I can quickly fit a model in #rstats that gets better estimates, plus quality measures of those estimates."

(Nerd note: If instead of $e^{-\kappa x}$ the dampening had been $2^{-\kappa x}$, then $1/\kappa$ would be the half-life of the process; but the numbers aren't as clean with base $e$.)

This facility with approximate reasoning (and use of #rstats :-) signal something important about Bob Who Understands: he understands what the numbers mean in terms of their effects on the function; he groks the function.

Nina hires Bob Who Understands. Bonuses galore follow.

Bob Who Recites Knowledge joins a government agency, funding research based on "objective, quantitative" metrics, where he excels at memorizing the 264,482 pages of regulation defining rules for awarding grants.