Your question is Feature Engineering for High-Dimensional Data. Take a moment with it on the right.
Talk me through your thinking if you like. When you're confident, submit your answer and I'll grade it like a real screen (7/10 or better passes).
Tell me about how you approach feature engineering and selection when dealing with high-dimensional financial data at Plaid.
Discuss how you would identify useful signals, handle missing and sparse values, prevent target leakage, manage correlated features, and choose between embedded, filter, and wrapper selection methods. Explain how you would validate that selected features generalize and remain appropriate for production use.