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 AlgorithmsAdditional Hold Time (AHT)Advanced 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 VaRAlternative Trading System (ATS)Alternative Trading System (ATS) Reporting RequirementsAmihud 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 ModelsAsk Prices in Financial MarketsAsset 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 ModelsBidBid-ask SpreadBinary protocolBinomial 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
Cancel on Disconnect (CoD)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 ThresholdsCircuit Breakers in Financial MarketsClearing and Settlement LatencyClearinghouse Stress Testing and CCP RiskClearPortClient libraryCloud Native Data ProcessingCloud-native Time-series DatabasesCME DirectCME GlobexCo-integration Testing for Statistical ArbitrageCoherent Risk Measures in Financial RegulationCollateral Management SystemsColocation in Financial MarketsCommodities 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 Contracts in Futures TradingContinuous 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-connect Fees in Financial MarketsCross-market SurveillanceCrossed marketCybersecurity and Resilience in Capital Markets DORA
D
D-QuoteDark 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 TechnologyDirect Market Access (DMA)Discretionary 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 Communication Network (ECN)Electronic Data Interchange (EDI)Electronic Trading ProtocolsEmbedded Finance InfrastructureEmbedded Risk Management in PaymentsEMIR Trade Reporting RequirementsEnd of DayEnergy 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 EnginesFiber Equalization in Low-latency TradingFill ProbabilityFill-and-Kill (FAK)Financial Information Exchange (FIX) ProtocolFinancial Instrument Reference DataFinancial Risk ModelingFinancial Stability Oversight Council FSOC Risk AssessmentsFinancial Transaction Tax (FTT)FINRA ADFFINRA ORFFINRA TRACEFINRA TRACE EnhancementsFINRA TRFFIX EngineFIX FASTFIX Protocol and ImplementationFIX 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)Futures Contracts
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
Handoff in Trading SystemsHedging 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 Depth in Financial MarketsImplied 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 AnalyticsITCH ProtocolIto's Lemma in Stochastic Calculus
K
L
L1 Market DataL2 Market DataL3 Market DataLadders in Financial MarketsLag Operator Notation in Time Series ModelingLaplace Approximation in Bayesian StatisticsLatency ArbitrageLatency Arbitrage Formula for HFT StrategiesLatency Arbitrage ModelsLatency EqualizationLatency FloorLatency in Financial MarketsLatency 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 MarketsLimit Up-Limit Down (LULD)Liquidity 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 in Financial MarketsLiquidity 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 ModelMargin ControlMarket Abuse Regulation (MAR)Market Access RuleMarket by Order (MBO)Market by Price (MBP)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 microstructureMarket 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 PricingMass Cancel Operations in Trading SystemsMass quotingMatching Algorithms in Financial MarketsMatching Engines in Financial MarketsMean 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 OptimizationMicrostructure Noise Models in High Frequency DataMid-frequency trading (MFT)MiFID IMiFID IIMiFID II Best Execution BenchmarksMiFIRMonte 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
Network Determinism in Financial MarketsNetwork Latency MonitoringNeural Differential Equations in Financial Time SeriesNeural Network Cost Functions for Price PredictionNon-Custodial Prime BrokerageNon-Fungible Financial InstrumentsNormalization in Financial DataNYSE Arca Integrated FeedNYSE Integrated FeedNYSE Pillar
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 AlgorithmsOptions Price Reporting Authority (OPRA)Oracle 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 RatioOrganized Trading Facility (OTF)Ornstein-Uhlenbeck Process for Mean ReversionOver-the-Counter (OTC)
P
Pairs Trading StrategyParity-priority AllocationPassive vs Aggressive Order StrategiesPayment for Order Flow (PFOF)Payment Rails and Real-Time Gross Settlement (RTGS)Pegged OrdersPITCHPort-to-port Latency in Trading SystemsPortfolio OptimizationPortfolio Rebalancing AlgorithmsPosition Management SystemsPost-Trade Transparency RegulationsPre-Trade Risk AnalyticsPre-trade risk checksPrecision Time Protocol (PTP)Predictive 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 FirmsProximity Hosting in Financial MarketsPurge Port Functionality in Trading Systems
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 TradingRegulation NMSRegulatory 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 SolutionsRule 15c3-5Rule 603Rule 611Rule 612
S
Securities Industry Automation Corporation (SIAC)Securities Information Processor (SIP)Security Token Offerings (STOs)Self Match PreventionSensor Fusion AnalyticsSentiment Analysis in Market ForecastingSettlement Finality in TradingShapley Value in Financial Risk AttributionSharpe Ratio CalculationSharpe Ratio vs Sortino RatioShort Selling in Financial MarketsSIFI DesignationSimple Binary Encoding (SBE)Skewness 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 AnalysisSocket-to-socket LatencySortino Ratio for Downside RiskSovereign Bond Yield SpreadsSPANSparse Regression for Alpha DiscoverySpectral Analysis for Market SignalsSpectral Clustering for Regime ChangesSpectral Risk Measures in Asset PricingSpoofing in Financial MarketsStablecoin Regulation ChallengesStaking Derivatives in DeFiStamp Duty in Financial MarketsStatistical 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 Execution Facility (SEF)Swap Pricing FormulasSwap Spread Dynamics and Credit RiskSwaps in Financial MarketsSynthetic Market Data GenerationSynthetic StablecoinsSystematic ArbitrageSystemic Market RiskSystemic Risk Designation FSOCSystemic Trading
T
T7 Enhanced Market Data Interface (EMDI)T7 Enhanced Order Book Interface (EOBI)T7 Trading ArchitectureTag 50Tail Risk HedgingTemporal Data ModelingTensor Factorization in Multi Asset Risk ModelingTerm Structure of Interest Rates Vasicek CIR ModelsThe Great Guide to OHLC CandlesticksThe Sub-Penny RuleTick DataTick Size ConstraintsTick Size in Financial MarketsTick Size Pilot ProgramTick-to-trade LatencyTime-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 IncomeTrading GatewaysTransaction Cost Analysis in High Frequency TradingTransaction Cost ModelingTransaction Latency AnalysisTransaction Reporting RequirementsTransaction TimestampingTransparency and Market Integrity T+1 SettlementsTrend-Following Algorithms
V
Value at Risk (VaR) modelsVariance Gamma Model for Option PricingVega Exposure in Options PortfoliosVolatility Arbitrage StrategiesVolatility in Financial MarketsVolatility Interruptions and Trading HaltsVolatility Surface ConstructionVolatility Targeting StrategiesVolume Profile AnalysisVWAPVWAP Slippage
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 Protocols in Financial SystemsWire-to-wire Latency