Alpha excess vs CAPM
Risk MgmtLong
Alpha excess return vs CAPM benchmark
Source: encyclopedia
Auction strategy MOC LOC
ExecutionMulti
MOC LOC market/limit on close auction
Source: encyclopedia
Aug 24 2015 mini-crash
MicrostructureShort
Aug 24 2015 mini-crash ETF dislocation 1100 halts
Source: encyclopedia
Backtest walk-forward
Risk MgmtLong
Backtest walk-forward avoid overfit
Source: encyclopedia
Backtrader Python
BacktestingMulti
Backtrader Python open-source backtesting
Source: encyclopedia
Beta CAPM market sensitivity
Risk MgmtLong
Beta CAPM market sensitivity vs benchmark
Source: encyclopedia
Bid-ask spread
MicrostructureMulti
Bid-ask spread tightness liquidity
Source: encyclopedia
Block trade upstairs
ExecutionMulti
Block trade upstairs broker-negotiated
Source: encyclopedia
CVaR conditional VaR
Risk MgmtMulti
CVaR Conditional VaR Expected Shortfall
Source: encyclopedia
Calmar ratio CAGR/MDD
Risk MgmtLong
Calmar ratio CAGR / max drawdown
Source: encyclopedia
Capacity constraint
BacktestingLong
Capacity constraint strategy slippage at scale
Source: encyclopedia
Cboe BYX EDGA inverted
MicrostructureMulti
Cboe BYX EDGA inverted exchanges
Source: encyclopedia
Click-and-deal CnD
ExecutionMulti
Click and deal streaming bond price
Source: encyclopedia
Co-location colo NYSE NASDAQ
LatencyMulti
Co-location colo exchange data center
Source: encyclopedia
Commission impact realistic
BacktestingLong
Commission impact realistic in backtest
Source: encyclopedia
Credit Suisse rescue Mar 2023
MicrostructureShort
Credit Suisse UBS rescue Mar 19 2023 AT1 wipeout
Source: encyclopedia
Cross-listed arb ADR-ord
StrategyMulti
Cross-listed arb ADR vs ordinary
Source: encyclopedia
Cross-validation k-fold
Risk MgmtLong
k-fold cross-validation ML training
Source: encyclopedia
Daily P&L limit
Risk MgmtLong
Daily P&L limit drawdown trigger
Source: encyclopedia
Dark pool routing
ExecutionMulti
Dark pool routing internalize block
Source: encyclopedia
Data snooping bias
BacktestingShort
Data snooping bias multiple testing
Source: encyclopedia
Direct exchange feed faster
MicrostructureMulti
Direct exchange feed faster than SIP
Source: encyclopedia
Discretionary trader hybrid
ExecutionMulti
Discretionary + algo hybrid execution
Source: encyclopedia
ETF arb create-redeem
StrategyMulti
ETF arb create-redeem AP authorized participant
Source: encyclopedia
Expectancy per trade
Risk MgmtLong
Expectancy = win% * avgwin - loss% * avgloss
Source: encyclopedia
FPGA hardware acceleration
LatencyMulti
FPGA hardware acceleration HFT
Source: encyclopedia
Flash Crash May 6 2010
MicrostructureShort
Flash Crash May 6 2010 9% intraday Sarao spoofing
Source: encyclopedia
Front-running illegal
StrategyShort
Front-running illegal SEC ban
Source: encyclopedia
HFT high-frequency trading
LatencyMulti
HFT high-frequency trading μs latency
Source: encyclopedia
Hidden liquidity iceberg
MicrostructureMulti
Hidden liquidity iceberg displayed reserve
Source: encyclopedia
Hwang/Archegos blowup 2021
MicrostructureShort
Bill Hwang Archegos $20B blowup Mar 2021 swaps
Source: encyclopedia
IEX speed bump 350μs 2016
MicrostructureMulti
IEX speed bump 350μs SEC approved 2016
Source: encyclopedia
Iceberg algo display
ExecutionMulti
Iceberg algo display partial size
Source: encyclopedia
Implementation shortfall
ExecutionMulti
Implementation shortfall arrival price
Source: encyclopedia
Index arb futures vs basket
StrategyMulti
Index arb futures vs cash basket
Source: encyclopedia
InfiniBand vs Ethernet
LatencyMulti
InfiniBand vs Ethernet HFT comm
Source: encyclopedia
Information ratio active
Risk MgmtLong
Information ratio active return / tracking error
Source: encyclopedia
Inverted exchange taker-maker
MicrostructureMulti
Inverted exchange taker-maker fee structure
Source: encyclopedia
Kernel bypass network
LatencyMulti
Kernel bypass network DPDK Solarflare
Source: encyclopedia
Kill switch automatic
Risk MgmtLong
Kill switch automatic stop on threshold
Source: encyclopedia
Knight Capital $440M loss 2012
MicrostructureShort
Knight Capital $440M loss Aug 2012 algo blowup 30 min
Source: encyclopedia
LME nickel halt Mar 2022
MicrostructureShort
LME nickel halt + cancel Tsingshan Mar 2022
Source: encyclopedia
LOB Limit Order Book
MicrostructureMulti
LOB Limit Order Book microstructure
Source: encyclopedia
Latency arb stale price
StrategyMulti
Latency arb stale price exchange feed
Source: encyclopedia
Layering illegal
StrategyShort
Layering multi-level illegal
Source: encyclopedia
Liquidity-seeking SOR
ExecutionMulti
Smart Order Router SOR multi-venue
Source: encyclopedia
Lit market routing
ExecutionMulti
Lit market routing public limit book
Source: encyclopedia
Lock-free data structure
LatencyMulti
Lock-free data structure HFT
Source: encyclopedia
Look-ahead bias avoid
BacktestingLong
Look-ahead bias avoid use available data only
Source: encyclopedia
Maker-taker pricing
MicrostructureMulti
Maker-taker pricing rebate vs fee
Source: encyclopedia
Market impact size
BacktestingLong
Market impact size assume large size move price
Source: encyclopedia
Market making spread cap
StrategyMulti
Market making capture spread inventory mgmt
Source: encyclopedia
Maximum drawdown MDD
Risk MgmtLong
Maximum Drawdown peak-to-trough lowest
Source: encyclopedia
Mean reversion intraday
StrategyMulti
Intraday mean reversion bands
Source: encyclopedia
MiFID II Europe 2018
MicrostructureMulti
MiFID II Europe Jan 2018 best ex post-trade
Source: encyclopedia
Microwave NY-Chicago
LatencyMulti
Microwave network NY-Chicago HFT race
Source: encyclopedia
Momentum HFT order flow
StrategyMulti
Order flow momentum HFT
Source: encyclopedia
Monte Carlo bootstrap
Risk MgmtMulti
Monte Carlo bootstrap robustness
Source: encyclopedia
Order book imbalance
MicrostructureMulti
Order book imbalance bid vs ask size
Source: encyclopedia
Order flow toxicity
MicrostructureMulti
VPIN volume-synchronized PIN order flow toxicity
Source: encyclopedia
Out-of-sample testing
Risk MgmtLong
Out-of-sample testing validation
Source: encyclopedia
Overfitting in-sample
BacktestingShort
Overfitting in-sample data trap
Source: encyclopedia
POV percent of volume
ExecutionMulti
POV percent of volume execution algo
Source: encyclopedia
Payment for order flow PFOF
MicrostructureMulti
Payment for order flow PFOF Citadel Robinhood
Source: encyclopedia
Pegged orders mid-point
ExecutionMulti
Pegged orders mid-point bid offer
Source: encyclopedia
Position limit per strategy
Risk MgmtLong
Position limit per strategy intraday
Source: encyclopedia
Pre-positioning HFT
StrategyMulti
Pre-positioning HFT before retail flow
Source: encyclopedia
Pyfolio Pyfolio reporting
BacktestingMulti
Pyfolio Quantopian portfolio analysis
Source: encyclopedia
QuantConnect platform
BacktestingMulti
QuantConnect cloud backtesting
Source: encyclopedia
QuantStats reporting
BacktestingMulti
QuantStats Python reporting + tearsheet
Source: encyclopedia
Quote stuffing illegal
StrategyShort
Quote stuffing illegal SEC ban
Source: encyclopedia
RFM Request For Market
ExecutionMulti
RFM Request For Market two-way price
Source: encyclopedia
RFQ Request For Quote
ExecutionMulti
RFQ Request For Quote bond OTC FX
Source: encyclopedia
Reg NMS 2005 SEC
MicrostructureMulti
Reg NMS 2005 SEC US equity microstructure
Source: encyclopedia
SEC 605/606 disclosure
MicrostructureMulti
SEC 605/606 execution quality disclosure
Source: encyclopedia
SIP Securities Info Processor
MicrostructureMulti
SIP Securities Info Processor consolidated tape
Source: encyclopedia
SVB run March 9-10 2023
MicrostructureShort
SVB run March 9-10 2023 social media driven
Source: encyclopedia
Sharpe ratio risk-adjusted
Risk MgmtLong
Sharpe ratio (Rp - Rf) / σp
Source: encyclopedia
Slippage realistic
BacktestingLong
Slippage realistic include in backtest
Source: encyclopedia
Sniper opportunistic
ExecutionMulti
Sniper opportunistic liquidity-seeking
Source: encyclopedia
Solarflare OpenOnload
LatencyMulti
Solarflare OpenOnload kernel bypass
Source: encyclopedia
Sortino downside dev only
Risk MgmtLong
Sortino ratio downside deviation only
Source: encyclopedia
Spoofing illegal ban
StrategyShort
Spoofing illegal Dodd-Frank Sarao 2010 Flash Crash
Source: encyclopedia
Spread Networks fiber
LatencyMulti
Spread Networks dark fiber NY-Chicago
Source: encyclopedia
Stat arb statistical arbitrage
StrategyMulti
Stat arb pairs cointegration
Source: encyclopedia
Stealth dark only
ExecutionMulti
Stealth dark-only execution
Source: encyclopedia
Stress test scenarios
Risk MgmtMulti
Stress test scenarios 1987 2008 2020 events
Source: encyclopedia
Survivorship bias avoid
BacktestingLong
Survivorship bias avoid delisted stocks include
Source: encyclopedia
T+0 same-day settlement
MicrostructureMulti
T+0 same-day settlement post-Reddit GME push
Source: encyclopedia
T+1 settlement May 2024 US
MicrostructureMulti
T+1 settlement US May 28 2024
Source: encyclopedia
TWAP time-weighted average
ExecutionMulti
TWAP time-weighted average price exec
Source: encyclopedia
Tick size pilot 2016
MicrostructureMulti
Tick size pilot SEC 2016 mid-cap stocks
Source: encyclopedia
Treynor ratio per beta
Risk MgmtLong
Treynor ratio (Rp - Rf) / β market risk only
Source: encyclopedia
Triangular FX arb
StrategyMulti
Triangular FX arbitrage 3 pairs
Source: encyclopedia
VWAP execution algo
ExecutionMulti
VWAP volume-weighted average price exec
Source: encyclopedia
Var Value at Risk
Risk MgmtMulti
VaR Value at Risk daily 95/99% confidence
Source: encyclopedia
VectorBT Python
BacktestingMulti
VectorBT Python vectorized backtesting
Source: encyclopedia
Win rate Profit factor
Risk MgmtLong
Win rate + Profit factor TPNL/TLNL
Source: encyclopedia
Yashpal SQLite logging
BacktestingLong
Yashpal SQLite trade logging Strategy 1 V5
Source: user
Zipline Quantopian successor
BacktestingMulti
Zipline Python Quantopian successor
Source: encyclopedia
An encyclopedia of publicly documented strategies for education. YCAI does not recommend, endorse, or trade any of these. Not investment advice.