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Financial Indices & Trading Indicators

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Abstractions about measuring and modeling financial markets, covering technical trading indicators (Donchian channel, RSI, put/call ratio, triple exponential moving average), index construction methods (capitalization-weighted, Törnqvist, Kauffman, and volume indices), and portfolio-theoretic models like the Kelly criterion.

15 abstractions in this family — domain-specific abstractions that sit near one another in structural-signature space (k-means over structural-signature embeddings). Each is shown with its short description.

  • Capitalization-Weighted Index — A capitalization-weighted (or cap-weighted) index, also called a market-value-weighted index is a stock market index whose components are weighted according to the total market value of their outstanding shares.
  • Donchian Channel — The Donchian channel is an indicator used in market trading developed by Richard Donchian.
  • Elasticity of intertemporal substitution — In economics, elasticity of intertemporal substitution (or intertemporal elasticity of substitution, EIS, IES) is a measure of responsiveness of the growth rate of consumption to the real interest rate.
  • Forward measure — In finance, a T-forward measure is a pricing measure equivalent to a risk-neutral measure, but rather than using the money market as numeraire, it uses a bond with maturity T.
  • Jensen's alpha — In finance, Jensen's alpha (or Jensen's Performance Index, ex-post alpha) is used to determine the abnormal return of a security or portfolio of securities over the theoretical expected return.
  • Kauffman Index of Entrepreneurship — The Kauffman Index of Entrepreneurial Activity, also known as the Kauffman Index of Entrepreneurship, is a leading indicator of new business creation in the United States, which has been cited in academic journals such as Small Business Economics.
  • Kelly criterion — In finance, the Kelly criterion (or Kelly strategy or Kelly bet) is a formula for risk allocation with the sizing a sequence of bets by maximizing the long-term expected value of the logarithm of wealth, which is equivalent to maximizing the long-term expected geometric growth rate.
  • Market facilitation index — The Market Facilitation Index (MFI) is the creation of Bill Williams.
  • Merton's portfolio problem — Merton's portfolio problem is a problem in continuous-time finance and in particular intertemporal portfolio choice.
  • PRIX index — The PRIX index (or Political Risk for Oil Exports Index) is a financial indicator for international oil markets to understand the political risks associated with oil exports.
  • Put/Call Ratio — In finance the put/call ratio (or put-call ratio, PCR) is a technical indicator demonstrating investor sentiment.
  • Relative Strength Index — The relative strength index (RSI) is a technical indicator used in the analysis of financial markets.
  • Triple exponential moving average — The Triple Exponential Moving Average (TEMA) is a technical indicator in technical analysis that attempts to remove the inherent lag associated with moving averages by placing more weight on recent values.
  • Törnqvist index — In economics, the Törnqvist index is a price or quantity index.
  • Volume Index — A volume index or quantity index is a numerical time series measure designed to help compare how the production of some class of goods and/or services, taken as a whole, differs between time periods or geographical locations.