Explain factor leakage checks and IC/ICIR filtering
Company: Citadel
Role: Data Scientist
Category: Machine Learning
Difficulty: medium
Interview Round: Technical Screen
Overview: This question evaluates competency in factor-based predictive modeling, including detection of information leakage, use of information coefficient (IC) and ICIR for factor screening, construction and training of alpha models, and controls for overfitting in finance-specific time series.
Read the full Citadel Data Scientist interview experience this question came from