Double Hecke algebras or double affine Hecke algebras (DAHA) or Cherednik algebras are a particular class of multiparametric families of associative algebras; one parameter is $q$ and then there are 1 or more parameters $t_\alpha$ where labels $\alpha$ depend on a root system. While Iwahori-Hecke algebra is a deformation of the group algebra of a Weyl group, DAHA are flat deformations of certain crossed product algebras (or twisted group algebras) involving Coxeter groups. Affine denotes the relation to affine Weyl group in DAHA case. Ivan Cherednik introduced DAHA in proving Macdonald conjecture?s about orthogonal polynomials attached to reduced root systems.
Notice that rational Cherednik algebras defined by Etingof and Ginzburg are not literally DAHAs, but certain degenerations of those and are a special case of symplectic reflection algebras.
Monograph:
It has been introduced in a series of works in early 1990s:
An introduction into the monograph above is the preprin
Ivan Cherednik, Introduction to double Hecke algebras, math.QA/0404307
I. Cherednik, Y. Markov, Hankel transform via double Hecke algebra, math.QA/0004116
Mark Haiman, Cherednik algebras, Macdonald polynomials and combinatorics, Proc. ICM, Madrid 2006, Vol. III, 843–872, djvu scan; author’s pdf
Pavel Etingof, Lectures on Calogero-Moser systems, pdf
Wee Liang Gan, Victor Ginzburg, Almost-commuting variety, $\mathcal{D}$-modules, and Cherednik algebras, With an appendix by Ginzburg. IMRP Int. Math. Res. Pap. 2006, 26439, 1–54, MR2008c:14062
A construction via factorization homology of quantum group representation categories is indicated in
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