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The process of using a computer program to place orders to trade securities in financial markets. Typically, these trades are made in exchange-traded instruments, such as listed equities, options, an…
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A type of stochastic volatility model developed by associate finance professor Steven Heston in 1993 for analyzing bond and currency options. The Heston model is a closed-form solution for pricing opt…
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Algorithms that allow computers to evolve behaviors based on empirical data. Approaches include genetic programming, artificial neural networks, decision trees, support vector machines, and cluster a…
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The process of determining the price - the value - of an asset.
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Market makers provide liquidity to the market by quoting bid and ask prices for most of the time. The pricing in absolute terms is not as important as finding relative mispricing. The market microstru…
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often used in statistical abitrage as a way to identify how to combine some tradable instrument to obtain a *mean reverting* one.
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The calculated approximation of a result which is usable even if input data may be incomplete or uncertain.
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Credit Default Swap or CDS - a type of swap which purpose is transferring the credit exposure of fixed income products between parties. It works like an insurance policy, where protection buyer who m…
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also called 'econophysics' is the application of statistical tools to the study of financial markets data.
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A measure of the degree of linear association between a pair of random variables.
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a market-neutral trading strategy enabling traders to profit from virtually any market conditions: uptrend, downtrend, or sideways movement. This strategy is categorized as a statisti…
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The Chicago Board Options Exchange Market Volatility Index, a popular measure of the implied volatility of S&P 500 index options.
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An investment strategy that attempts to balance risk versus reward by adjusting the percentage of each asset in an investment portfolio according to the investors risk tolerance, goals and investment …
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The prioritized list of resting orders held by the exchange. Each limit order represents an obligation to buy or sell. The most common type of order book is prioritized first by price and them by time…