I know MonetDB is a self indexing databases but how does this actually work?. I would like to learn more about how this works internally. Does MonetDB create compound indexes as well or is it just per column? What indexing strategy is being used? I was going through this document: https://www.monetdb.org/book/export/html/26 but didn't find much about this topic.
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Hash indices are created automatically when the corresponding relational primitives would benefit. They are retained and maintained.
For the secondary indices see: Lefteris Sidirourgos, Martin L. Kersten: Column imprints: a secondary index structure. SIGMOD Conference 2013: 893-904 regards, Martin

mkersten
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Adding to @mkersten's answer, since the Dec 2016 release, MonetDB supports "ordered indices" on columns, where all column values are stored in order so you can binary-search them (and obtain the record index in the table columns proper).
See: the Indices page on the MonetDB website (which also describes IMPRINT indices).

einpoklum
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