Information Coefficient (IC): How to Measure Quant Signal Skill
The Information Coefficient (IC) measures how well a quant signal’s forecasts predict realized returns — rank vs Pearson IC, the link to the…
10 min read
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Information Ratio (IR): The Scorecard for Active Skill
The Information Ratio (IR) measures active return per unit of active risk — how reliably a strategy beats its benchmark. What counts as a go…
11 min read
Factor Decay: Why Published Factor Premia Fade Over Time
Factor decay is the tendency of documented factor premia — value, size, momentum — to weaken once they are published and crowded. What the M…
10 min read
Statistical Arbitrage: How Market-Neutral Mean-Reversion Strategies Work
Statistical arbitrage is a family of market-neutral strategies that profit from temporary, statistically identified mispricings between rela…
9 min read
Pairs Trading: A Practical Guide to the Cointegration Spread Strategy
Pairs trading is the canonical statistical-arbitrage strategy: find two cointegrated securities, trade the spread between them when it diver…
8 min read
Signal Research & Discovery
Signal Decay Analysis: Understanding Alpha Lifecycles
Discover how trading signals lose their edge over time and what savvy investors can do to stay ahead.
16 min read
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Quant signal glossary
50 plain-English definitions
The vocabulary of quantitative signal research — each term defined precisely, cross-linked to the guides that use it.
Information CoefficientInformation RatioSharpe RatioMean ReversionAlpha DecayDeflated SharpeFundamental LawVPINKyle's LambdaPurged CV
Browse all 50 terms Interactive tool
Signal Decay Calculator
Enter a signal’s information coefficient at several horizons and get its estimated half-life, a fitted decay curve, and a rebalancing guide — instantly, in the browser.
Latest research
VPIN: Volume-Synchronized Probability of Informed Trading
VPIN estimates the toxicity of order flow — the risk that liquidity providers are being adversely selected — from volume-bucketed trade imba…
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Order Flow Imbalance (OFI): Reading Short-Horizon Price Pressure
Order flow imbalance measures the net buying pressure in the limit order book — and explains short-horizon price moves more reliably than tr…
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Kyle's Lambda: Price Impact and the Cost of Informed Trading
Kyle’s lambda is the price-impact coefficient at the heart of market microstructure — how far the price moves per unit of net order flow. Wh…
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The Amihud Illiquidity Ratio: Measuring Price Impact from Daily Data
The Amihud illiquidity ratio measures how much a security’s price moves per dollar traded, using nothing more than daily returns and volume.…
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Fractional Differentiation: Making Financial Series Stationary Without Losing Memory
Fractional differentiation makes a price series stationary while preserving the maximum possible memory — resolving the dilemma that taking …
9 min read
Pairs Trading: A Practical Guide to the Cointegration Spread Strategy
Pairs trading is the canonical statistical-arbitrage strategy: find two cointegrated securities, trade the spread between them when it diver…
8 min read
Statistical Arbitrage: How Market-Neutral Mean-Reversion Strategies Work
Statistical arbitrage is a family of market-neutral strategies that profit from temporary, statistically identified mispricings between rela…
9 min read
Factor Decay: Why Published Factor Premia Fade Over Time
Factor decay is the tendency of documented factor premia — value, size, momentum — to weaken once they are published and crowded. What the M…
10 min read
Information Ratio (IR): The Scorecard for Active Skill
The Information Ratio (IR) measures active return per unit of active risk — how reliably a strategy beats its benchmark. What counts as a go…
11 min read
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