Glossary Index
Quantitative finance sits at the intersection of markets, statistics, mathematics, software engineering, and more, where each has it's own vocab. This glossary series aims to help with that.
Introduction
This series is a reference for terminology you'll encounter throughout NEFS Quant, the Quant Foundations series, later series, and in the actual industry. You don't need to read it front to back, unless you really want to. Use it when you encounter something unfamiliar, or if you're curious. All blog posts and series are LLM friendly, so if you don't understand something, or want to learn more, that is an option you can take.
Becoming familiar with domain-specific terminology makes it much easier to communicate technical ideas clearly and concisely. A shared vocabulary means we can spend less time explaining what a term means, and more time discussing the idea behind it.
By the time you're comfortable with the glossary, phrases like these should feel fairly natural:
“The strategy is posting passively at the touch, but adverse selection and poor queue position are eroding the spread capture.”
“The signal looks strong in-sample, but after accounting for turnover, market impact, and multiple testing, the out-of-sample edge is much less convincing.”
“We detected a sequence gap in the multicast feed, so the local order book is stale until we recover from a fresh snapshot and replay the missing deltas.”
If those currently sound like complete nonsense, that's exactly what this series is for.
NEFS Quant · About · Blog · News & Events · People · Privacy policy