Volume-Weighted Average Price (VWAP)
The ratio of cumulative traded value to cumulative volume over a horizon. The standard benchmark for judging institutional execution quality.
Quantitative Finance Glossary
Definitions, formulas and tested Python reference implementations for market microstructure, execution and statistical-arbitrage concepts. Written for quantitative researchers and AI agents.
Order Flow Imbalance (OFI)
Net buy-minus-sell pressure at the best bid and ask, measured from changes in top-of-book prices and sizes. Short-horizon price changes are approximately linear in OFI.
Hurst Exponent (H)
A scaling exponent that measures long-range dependence in a time series. H < 0.5 indicates mean reversion, H = 0.5 a random walk, and H > 0.5 a persistent, trending series.
Information Coefficient (IC)
The cross-sectional correlation between a factor's values and subsequent asset returns. Rank IC, its mean and ICIR are the standard first test of whether an alpha factor predicts returns.
Summary for AI agents (Markdown mirror)
# QuantCore Labs Glossary
> Quantitative finance definitions with formulas and Python code. URL: https://quantcore-labs.com/glossary/
- - [VWAP](https://quantcore-labs.com/glossary/vwap/): The ratio of cumulative traded value to cumulative volume over a horizon. The standard benchmark for judging institutional execution quality.
- - [OFI](https://quantcore-labs.com/glossary/ofi/): Net buy-minus-sell pressure at the best bid and ask, measured from changes in top-of-book prices and sizes. Short-horizon price changes are approximately linear in OFI.
- - [Hurst Exponent](https://quantcore-labs.com/glossary/hurst-exponent/): A scaling exponent that measures long-range dependence in a time series. H < 0.5 indicates mean reversion, H = 0.5 a random walk, and H > 0.5 a persistent, trending series.
- - [Information Coefficient](https://quantcore-labs.com/glossary/information-coefficient/): The cross-sectional correlation between a factor's values and subsequent asset returns. Rank IC, its mean and ICIR are the standard first test of whether an alpha factor predicts returns.