Finance concepts for data developers

Instrument

An instrument is a thing that can be observed or traded. In this project, the initial instruments are:

Stock

Ownership share in a company, such as Apple or Microsoft.

ETF

Exchange-traded fund. A basket-like product that trades like a stock.

Bond yield series

A time series describing interest rates for a maturity, such as the US 10-year Treasury yield.

Ticker symbol

A ticker symbol is the compact identifier used by market data sources. AAPL is Apple’s ticker. DGS10 is a FRED series ID for the 10-year Treasury constant maturity rate.

OHLCV bars

OHLCV means:

Open

First price in the interval.

High

Highest price in the interval.

Low

Lowest price in the interval.

Close

Last price in the interval.

Volume

Number of shares/contracts traded in the interval.

A one-minute bar compresses many trades into one row. A daily bar compresses a whole trading day into one row.

Interval

The interval is the bar duration:

  • 1m means one-minute bars

  • 5m means five-minute bars

  • 1h means one-hour bars

  • 1d means daily bars

Intraday data has shorter historical retention than daily data.

Returns

Return measures price change. A simple return is:

(current_price - previous_price) / previous_price

Log returns are often used in quantitative finance because they compose neatly over time.

Momentum

Momentum measures whether price movement is persisting in a direction. A simple momentum signal compares the current price with a past price. A derivative-based momentum signal looks at the slope of price over recent bars.

Velocity and acceleration

For streaming analytics, price can be treated like a curve:

First derivative

Direction and speed of price movement. Positive means rising; negative means falling.

Second derivative

Change in the first derivative. Positive means upward movement is accelerating or downward movement is weakening.

This can support directional interpretations:

  • rising and accelerating

  • rising but weakening

  • falling and accelerating

  • falling but stabilizing

Volatility

Volatility measures how much price or returns vary. Rolling volatility uses a recent window of returns. Higher volatility means larger price swings and often higher risk.

AUC

AUC means area under the curve. In finance analytics, it can be adapted in several ways:

Price AUC

Area under the price curve over a window.

Return AUC

Area under the return curve.

Momentum AUC

Persistence and magnitude of momentum over time.

Excess AUC

Area between price and a baseline such as a moving average.

These are not universal finance metrics by default; they are custom analytics building blocks that can be useful for direction and regime detection.

For exact formulas and the current fincore.analytics implementation, see Analytics calculations.