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…
12 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…
10 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…
9 min read
Signal Research & Discovery
Signal Decay Meaning: How Trading Alpha Fades Over Time
What signal decay means and why it happens: how trading alpha fades over time, what drives the decline, and how to detect it before it costs…
17 min read
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How ML methods and the tooling behind them apply to signal detection, alpha research, and systematic execution.
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How signals behave once they meet live markets: impact, decay, liquidity, regime shifts, and cross-asset structure.
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How to turn a book of individual signals into one coherent portfolio: attribution, correlation, sizing, and risk.
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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 tools
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Explorables and calculators that make the concepts tangible — drag a slider and watch an information coefficient, a correlation matrix, or order-flow toxicity react in real time. No sign-up, nothing to install.
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…
8 min read
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…
7 min read
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…
7 min read
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.…
7 min read
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 …
10 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…
9 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…
10 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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