Glossary
List of terms and concepts used in capital markets, heavy industry, QuestDB, and other time series or analytics databases
A
Adaptive Market HypothesisAdaptive Market MakingAdaptive Trading AlgorithmsAdvanced Message Queuing Protocol (AMQP)Adversarial Training for Market ForecastingAdverse Selection Models in Electronic MarketsAgency ExecutionAgent Based Models in Market SimulationAI-Augmented Portfolio OptimizationAlgorithmic Credit ScoringAlgorithmic Execution StrategiesAlgorithmic Portfolio RebalancingAlgorithmic Risk ControlsAlgorithmic Stablecoins and Systemic RiskAlgorithmic TradingAlpha Signals in Quantitative FinanceAlternative Credit ScoringAlternative Data Sources in FinanceAlternative Liquidity PoolsAlternative Margin Calculation Methods SPAN vs VaRAmihud Illiquidity RatioAnisotropic DataAnomaly Detection In Industrial SystemsAnomaly Detection In Time Series DataApache Parquet, What It Is and Why to Use ItArbitrage-Free Pricing ModelsAre Headless Data and Headless BI the Future?ARIMA ModelsARMA ModelsAsset Liability Management (ALM)Asset Price CorrelationAsset TokenizationAsset-Backed Securities (ABS)Atomic Transactions in Financial SystemsAuction Mechanisms in Financial MarketsAutomated Clearing House (ACH)Automated Liquidity ProvisionAutomated Market Makers (AMM)
B
Backpressure in Data Streaming SystemsBacktestingBasel IIIBasel III Capital Liquidity Coverage RatioBasel IV RegulationsBasel IV Risk Weighting AdjustmentsBatch Vs. Stream ProcessingBayesian Inference in Portfolio AllocationBayesian Inference in Quant TradingBenchmark IndexBest Execution Policies (MiFID II & SEC)Beta Estimation in Market Risk ModelsBinomial Option Pricing ModelBlack-Scholes Model for Option PricingBlack-Scholes Model LimitationsBlock Order ExecutionBlock Trade ReportingBlockchain for Supply ChainBlockchain-Based Repo MarketsBond Market MicrostructureBroker-Dealer RegulationBulk Synchronous ProcessingBuy-Side vs Sell-Side Trading
C
Capital Adequacy Ratio (CAR)Capital Asset Pricing Model (CAPM)Capital Markets InfrastructureCausal Inference in Economic Time SeriesCentral Bank Digital Currency (CBDC) ModelsCentral Clearing MandatesCentral Counterparty Clearing (CCP)Change Data Capture (CDC)Circuit Breaker Test ThresholdsClearing and Settlement LatencyClearinghouse Stress Testing and CCP RiskCloud Native Data ProcessingCloud-native Time-series DatabasesCo-integration Testing for Statistical ArbitrageCoherent Risk Measures in Financial RegulationCollateral Management SystemsCommodities HedgingCommodity FuturesCommodity Price IndexComplex Event Processing (CEP)Composability in Smart ContractsComprehensive Overview of Finite Difference Methods for Option PricingComprehensive Overview of Hawkes Processes in Market Event ModelingComprehensive Overview of Kullback-Leibler Divergence in Financial DistributionsComprehensive Overview of Liquidity Shock Propagation in Market NetworksComputational FinanceConsolidated Audit Trail (CAT)Contango and Backwardation in Futures PricingContinuous auditingContinuous data integrationContinuous Query ProcessingConvex Hulls in Portfolio OptimizationConvex Optimization for Execution AlgorithmsConvexity Adjustments in Interest Rate DerivativesConvexity HedgingCopula Functions for Correlation ModelingCoupon Bond Pricing FormulaCredit Default Swap CDS PricingCross Entropy Loss for Probabilistic Trading ModelsCross-asset CorrelationCross-Asset Derivatives HedgingCross-asset Trading StrategiesCross-Border Payment SettlementCross-Chain Liquidity AggregationCross-market SurveillanceCrossed marketCybersecurity and Resilience in Capital Markets DORA
D
Dark Pool AggregationDark Pool RegulationsDark PoolsData Archiving for Time-series DatabasesData Compression Techniques for Time-series DataData Governance in Financial MarketsData Integrity VerificationData lake integrationData Lakehouse ArchitectureData Lineage in Financial SystemsData Partitioning StrategiesData ProvenanceData retention policyData ShardingData streamingDecentralized Autonomous Organizations (DAOs)Decentralized Clearing MechanismsDecentralized Finance (DeFi)Decentralized Identity VerificationDecentralized Market SurveillanceDecentralized Risk PoolsDeep Learning for Order Flow PredictionDelta HedgingDelta Hedging vs Gamma HedgingDelta-Neutral Hedging StrategiesDelta-Neutral Portfolio ConstructionDerivative Risk AnalyticsDerivatives Clearing Organization (DCO)Derivatives Pricing ModelsDifferential Evolution in Algorithmic Trading StrategiesDigital Asset Custody and Cold StorageDigital Custodian BankingDigital Twin TechnologyDiscretionary OrdersDistributed Event ProcessingDistributed Ledger in Capital MarketsDistributed Ledger Technology (DLT)Distributed SQLDistributed Time-series DatabasesDodd-Frank Swap Execution MandatesDownsampling (data processing)Duration and Convexity in Fixed Income AnalyticsDuration-Matching StrategiesDynamic HedgingDynamic Hedging in Derivatives TradingDynamic Programming in Execution Cost Minimization
E
Edge AnalyticsEigenvalue Decomposition in Risk AnalysisElectronic Data Interchange (EDI)Electronic Trading ProtocolsEmbedded Finance InfrastructureEmbedded Risk Management in PaymentsEMIR Trade Reporting RequirementsEnergy Consumption ForecastingEnergy Market ForecastingEnergy Trading and Risk Management (ETRM)Entropy Measures in Financial Data CompressionEnvironmental Data and MetricsEnvironmental Risk AnalyticsEnvironmental, Social, and Governance (ESG) metricsEvent SourcingEvent-Driven Architecture (EDA)Event-driven MicroservicesExchange Co-Location StrategiesExchange-Traded Derivatives (ETDs)Exchange-Traded Fund (ETF)Execution AlgorithmsExecution Slippage MeasurementExotic Derivatives PricingExotic Option StructuresExotic SwapsExpectation-Maximization Algorithm for Market Data ClusteringExpected Shortfall (Conditional VaR)Explainability in AI-Driven Trading Strategies
F
Factor Loading in Multi-Factor Risk ModelsFair Value Models in TradingFama-French Three-Factor ModelFault Tolerant SystemsFederated Query EnginesFill ProbabilityFinancial Instrument Reference DataFinancial Risk ModelingFinancial Stability Oversight Council FSOC Risk AssessmentsFINRA TRACE EnhancementsFIX Protocol Enhancements (FIX Latest)Fixed Income AnalyticsFixed Income Liquidity RiskFixed Income Market StructureFixed Income Trading PlatformsFlash Bots in DeFi MarketsFlash Crashes in Financial MarketsFlash Loan ArbitrageForeign Exchange (Forex) MarketForeign Exchange Swap (FX Swap)Fourier Transform in High Frequency Trading Signal ProcessingFractal Market Hypothesis and Hurst ExponentFragmentation of Order Books Across VenuesFrequency Trading BandsFront RunningFutures Basis and Cost of Carry ModelsFutures Clearing Merchant (FCM)
G
Game Theory in Market MicrostructureGamma Scalping StrategiesGARCH Models and ApplicationsGas Fees Optimization StrategiesGeometric Brownian Motion for Asset PricesGeospatial Time Series DataGlobal Derivatives Regulation EMIR Dodd-FrankGradient Boosting in Price ForecastingGradient Descent in Reinforcement Learning for TradingGranular data accessGraph Neural Networks for Trade SurveillanceGreeks (Delta, Gamma, Theta, Vega, Rho)
H
Hedging Ratios in Portfolio ManagementHedging StrategiesHedging Strategies with Futures ContractsHeston Model for Stochastic VolatilityHidden Layer Representations in Deep Learning for FinanceHidden Markov Models in Market Regime DetectionHidden Markov Models in Order Flow PredictionHidden OrdersHigh Availability (HA)High Frequency Data SamplingHigh Frequency Mean Reversion StrategiesHigh-Dimensional Alpha SignalsHigh-Dimensional Risk Factor ModelingHigh-Frequency Trading Circuit BreakersHigh-Frequency Trading RiskHistorical Data ReplayHybrid Off-Chain and On-Chain ExecutionHybrid On-Chain & Off-Chain Execution ModelsHyperLogLog (data structure)Hyperparameter Optimization in Financial Machine Learning
I
Iceberg orderImplementation Shortfall AnalysisImplementation Shortfall in Algorithmic ExecutionImplied Volatility CalculationImplied Volatility SkewImplied Volatility Surface DistortionsImplied Volatility Term StructureIndustrial Data HistoriansIndustrial IoT (IIoT) DataIndustrial Process Control DataInformation Based Trading - Easley and O'Hara ModelInformation Entropy in Financial MarketsInformation Ratio in Active Portfolio ManagementInformation Ratio in Quant Trading PerformanceInter-Dealer BrokersInterest Rate Swaps and HedgingInternalization Broker-dealer MatchingInternet of Behaviors (IoB)Intertemporal Capital Asset Pricing Model (ICAPM)Intraday Liquidity ManagementIntraday Trading AnalyticsIto's Lemma in Stochastic Calculus
K
L
Ladders in Financial MarketsLag Operator Notation in Time Series ModelingLaplace Approximation in Bayesian StatisticsLatency ArbitrageLatency Arbitrage Formula for HFT StrategiesLatency Arbitrage ModelsLatency FloorLatency Measurement TechniquesLatency Normalization TechniquesLatency Sensitivity in Trading SystemsLaw of One Price in Arbitrage Free MarketsLayer 1 vs Layer 2 Scaling TradeoffsLayer 3 Scaling SolutionsLevy Processes in Asset PricingLimit order bookLimit Order Placement StrategiesLimit Orders in Financial MarketsLiquidity Adaptive Order Placement in Algorithmic TradingLiquidity Adjusted Capital Asset Pricing ModelLiquidity Aggregation in Financial MarketsLiquidity Aggregation Models in Dark PoolsLiquidity Cost Functions in Market Impact ModelsLiquidity Provider (LP)Liquidity Provider Inventory ModelsLiquidity Risk Premium in Asset PricingLiquidity Risk ReportingLiquidity Stress TestingLiquidity-Sensitive Execution AlgorithmsLocked and Crossed MarketsLocked Markets in Financial TradingLow Latency Trading Networks
M
Machine Learning for Execution OptimizationMachine Learning for Market PredictionMaker-Taker ModelMarket Abuse Regulation (MAR)Market Data EntitlementsMarket Data Feed HandlersMarket Data Throttling MechanismsMarket DepthMarket Depth HeatmapsMarket Efficiency HypothesisMarket FragmentationMarket Impact CostMarket Impact ModelsMarket Impact Models - Hasbrouck & Kyle's LambdaMarket Liquidity RiskMarket Making AlgorithmsMarket Microstructure AlphaMarket Microstructure NoiseMarket Orders in TradingMarket Regime Change Detection with MLMarket Regime Detection Using Hidden Markov ModelsMarket Replay SystemsMarket Surveillance SystemsMarket-Making in DerivativesMarket-on-Close (MOC) OrdersMarkowitz Efficient FrontierMartingale Pricing TheoryMartingale Representation Theorem in Derivatives PricingMean Absolute Deviation in Portfolio Risk MeasurementMean Reversion Trading StrategiesMean Squared Prediction Error (MSPE)Mean-Field Games in Financial MarketsMean-Reverting Process in Quant StrategiesMean-Variance OptimizationMean-Variance Portfolio OptimizationMiFID II Best Execution BenchmarksMonte Carlo Path Dependent Option PricingMonte Carlo Simulations for DerivativesMonte Carlo Simulations for Risk EstimationMortgage-Backed Securities (MBS) AnalyticsMulti Armed Bandit Optimization in TradingMulti-Asset Class PortfoliosMulti-Leg Order ExecutionMulti-Party Computation (MPC) for Privacy-Preserving FinanceMulti-Tenancy (Database Architecture)Municipal Bond Liquidity Risk
N
O
Off-Exchange Trading VolumeOn-Chain vs Off-Chain SettlementOnline Learning in Adaptive Algorithmic TradingOpen Banking APIsOperational Resilience in Trading SystemsOperational Technology (OT) monitoringOptimal Execution Cost Function in Market MakingOptimal Execution Strategies - Almgren-Chriss ModelOptimal Order Placement in Fragmented MarketsOptimal Stopping Theory in Trading AlgorithmsOracle Networks for On-Chain FinanceOrder Book ImbalanceOrder Execution AlgorithmsOrder Flow Imbalance ModelsOrder Flow ReconstructionOrder Flow ToxicityOrder Imbalance StrategiesOrder LifecycleOrder Management System (OMS)Order Matching EnginesOrder Protection Rule (Reg NMS)Order Routing System (ORS)Order Throttling in Trading SystemsOrder-to-Trade RatioOrnstein-Uhlenbeck Process for Mean Reversion
P
Pairs Trading StrategyPassive vs Aggressive Order StrategiesPayment for Order Flow (PFOF)Payment Rails and Real-Time Gross Settlement (RTGS)Pegged OrdersPortfolio OptimizationPortfolio Rebalancing AlgorithmsPosition Management SystemsPost-Trade Transparency RegulationsPre-Trade Risk AnalyticsPre-trade risk checksPredictive Load ForecastingPredictive maintenance analyticsPrice Impact Models for Large Block OrdersPrincipal Component Analysis (PCA) for Portfolio RiskPrincipal Manifold Learning in Factor InvestingPrincipal Trading vs Agency TradingPrincipal Trading vs Riskless Principal TradingPrivacy-Preserving Trading ProtocolsProbability of Informed Trading (PIN) ModelsProgrammable Money in Institutional FinanceProprietary Data Feeds vs Consolidated FeedsProprietary Trading Firms
Q
R
Real-Time Cross-Border PaymentsReal-time Data IngestionReal-time data visualizationReal-Time Fraud Detection in Electronic TradingReal-Time Market Data (RTMD)Real-Time Portfolio OptimizationReal-time Risk AssessmentReal-time Trade SurveillanceRegime Switching Models in Asset PricingRegime Switching Models in TradingRegulatory compliance automationRegulatory Reporting AutomationRegulatory Sandboxes for DeFi ExperimentationRegulatory Technical Standards (RTS)Reinforcement Learning for Optimal Market ExecutionReinforcement Learning in Market MakingReinforcement Learning Reward Functions in Market MakingRepo Market AutomationRepo Market Liquidity CrisisRisk Management in Swaps TradingRisk Parity Portfolio ConstructionRisk Premia Decomposition in Factor InvestingRisk Premium StrategiesRisk Reversal in Options TradingRisk Tokenization in DeFiRisk Weighted Assets (RWA) Calculation in Basel IIIRisk-Adjusted Return for Fixed IncomeRisk-Adjusted Return Metrics - Treynor and Calmar RatiosRisk-Neutral Measure in Derivative PricingRisk-Neutral MeasuresRisk-Neutral Valuation in Arbitrage-Free ModelsRisk-Weighted Assets (RWA)Rolling Window AnalysisRollups and Data Availability Solutions
S
Security Token Offerings (STOs)Sensor Fusion AnalyticsSentiment Analysis in Market ForecastingSettlement Finality in TradingShapley Value in Financial Risk AttributionSharpe Ratio CalculationSharpe Ratio vs Sortino RatioShort Selling in Financial MarketsSIFI DesignationSkewness in Derivative PricingSlippage and Market Impact EstimationSlippage in Financial MarketsSmart Beta StrategiesSmart Contract-Based LendingSmart Contracts in Market InfrastructureSmart Order Execution (SOE)Smart Order Execution StrategiesSmart Order Router (SOR)Smart Order Routing (SOR)Social Metrics in ESG AnalysisSortino Ratio for Downside RiskSovereign Bond Yield SpreadsSparse Regression for Alpha DiscoverySpectral Analysis for Market SignalsSpectral Clustering for Regime ChangesSpectral Risk Measures in Asset PricingStablecoin Regulation ChallengesStaking Derivatives in DeFiStatistical Arbitrage (Stat Arb)Statistical Power Analysis in Backtesting ModelsStatistical Risk ModelsStatistical Signal Processing for Market ForecastingStochastic Control in Optimal TradingStochastic Differential Equations in FinanceStop Orders in Financial TradingStructural Equation Modeling in Financial DataStructured Credit InstrumentsStructured Credit Risk ModelsStructured vs. Unstructured Time-Series DataSuperposition Principle in Financial DerivativesSupervised Learning in Algorithmic TradingSupply and Demand Elasticity in Market MicrostructureSupport Vector Machines for Market ClassificationSurvival Analysis in Default Risk EstimationSwap Pricing FormulasSwap Spread Dynamics and Credit RiskSynthetic Market Data GenerationSynthetic StablecoinsSystematic ArbitrageSystemic Market RiskSystemic Risk Designation FSOCSystemic Trading
T
Tail Risk HedgingTemporal Data ModelingTensor Factorization in Multi Asset Risk ModelingTerm Structure of Interest Rates Vasicek CIR ModelsThe Great Guide to OHLC CandlesticksTick DataTick Size ConstraintsTime-in-Force (TIF)Time-Series Compression AlgorithmsTime-series databaseTime-Synchronized Data StreamsTime-Weighted Average Price (TWAP)Timestamp Synchronization (PTP/NTP)Tokenized Collateral in LendingTrade AnonymityTrade Crossing NetworksTrade Execution QualityTrade Lifecycle ManagementTrade Lifecycle MonitoringTrade Reconstruction RequirementsTrade SurveillanceTrade Surveillance in Fixed IncomeTransaction Cost Analysis in High Frequency TradingTransaction Cost ModelingTransaction Latency AnalysisTransaction Reporting RequirementsTransaction TimestampingTransparency and Market Integrity T+1 SettlementsTrend-Following Algorithms
V
W
Wasserstein Distance for Risk Measure ComparisonsWavelet Transform for Market Anomaly DetectionWhat Is a Columnar Database?What Is a Materialized View?What Is a Non-relational Database?What Is a Relational Database?What Is Anomaly Detection?What Is ARIMA?What Is Classification in Statistical Analysis?What Is CRUD?What Is Curve Fitting in Time Series Analysis?What Is Database Partitioning?What Is Exponential Smoothing?What Is Forecasting in Time Series or Statistical Analysis?What Is High Cardinality?What Is Object Storage?What Is Segmentation in Time- Series or Statistical Analysis?What Is Stream Processing?What Is the CAP Theorem?What Is Time Series Data Analysis?Whistleblower Protection in Market RegulationWholesale CBDC vs Retail CBDCWire-to-wire Latency