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Quality Money Management
Process Engineering and Best Practices for Systematic Trading and Investment
- 1st Edition - February 29, 2008
- Authors: Andrew Kumiega, Benjamin Van Vliet
- Language: English
- Hardback ISBN:9 7 8 - 0 - 1 2 - 3 7 2 5 4 9 - 3
- eBook ISBN:9 7 8 - 0 - 0 8 - 0 5 5 9 9 1 - 9
The financial markets industry is at the same crossroads as the automotive industry in the late 1970s. Margins are collapsing and customization is rapidly increasing. The au… Read more
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Request a sales quoteThe financial markets industry is at the same crossroads as the automotive industry in the late 1970s. Margins are collapsing and customization is rapidly increasing. The automotive industry turned to quality and its no coincidence that in the money management industry many of the spectacular failures have been due largely to problems in quality control. The financial industry in on the verge of a quality revolution.
New and old firms alike are creating new investment vehicles and new strategies that are radically changing the nature of the industry. To compete, mutual funds, hedge fund industries, banks and proprietary trading firms are being forced to quicklyy research, test and implement trade selection and execution systems. And, just as in the early stages of factory automation, quality suffers and leads to defects. Many financial firms fall short of quality, lacking processes and methodologies for proper development and evaluation of trading and investment systems.
Authors Kumiega and Van Vliet present a new step-by-step methodology for such development. Their methodology (called K
- Presents a robust process engineering framework for developing and evaluating trading and investment systems
- Best practices along the step-by-step process will mitigate project risk, model risk, and ensure data quality
- Includes a quality model for backtesting and managing market risk of working systems
CIOs and IT Directors in financial services industry, particularly investment houses and banks; software vendors and technology companies who provide solutions for financial services industry; graduate students in financial engineering and financial markets courses and programs.
Contents
Preface
CHAPTER 1 Introduction
CHAPTER 2 Key Concepts and Definitions of Terms
CHAPTER 3 Overview of the Trading/Investment System Development Methodology
CHAPTER 4 Managing Design and Development
CHAPTER 5 Types of Trading Systems
CHAPTER 6 Stage 0: The Money Document
STAGE 1: Design and Document Trading/Investment Strategy
CHAPTER 7 STAGE 1: Overview
CHAPTER 8 Describe Trading/Investment Idea
CHAPTER 9 Research Quantitative Methods
CHAPTER 10 Prototype in Modeling Software
CHAPTER 11 Check Performance
CHAPTER 12 Gate 1
STAGE 2: Backtest
CHAPTER 13 STAGE 2: Overview
CHAPTER 14 Gather Historical Data
CHAPTER 15 Develop Cleaning Algorithms
CHAPTER 16 Perform In – Sample / Out – of – Sample Tests
CHAPTER 17 Check Performance and Shadow Trade
CHAPTER 18 Gate 2
STAGE 3: Implement
CHAPTER 19 STAGE 3: Overview
CHAPTER 20 Plan and Document Technology Specifications
CHAPTER 21 Design System Architecture
CHAPTER 22 Build and Document the System
CHAPTER 23 Check Performance and Probationary Trade
CHAPTER 24 Gate 3
STAGE 4: Manage Portfolio and Risk
CHAPTER 25 STAGE 4: Overview
CHAPTER 26 Plan Performance and Risk Processes
CHAPTER 27 Define Performance Controls
CAHPTER 28 Perform SPC Analysis
CHAPTER 29 Determine Causes of Variation
CHAPTER 30 Kaizen: Continuous Improvement
Preface
CHAPTER 1 Introduction
CHAPTER 2 Key Concepts and Definitions of Terms
CHAPTER 3 Overview of the Trading/Investment System Development Methodology
CHAPTER 4 Managing Design and Development
CHAPTER 5 Types of Trading Systems
CHAPTER 6 Stage 0: The Money Document
STAGE 1: Design and Document Trading/Investment Strategy
CHAPTER 7 STAGE 1: Overview
CHAPTER 8 Describe Trading/Investment Idea
CHAPTER 9 Research Quantitative Methods
CHAPTER 10 Prototype in Modeling Software
CHAPTER 11 Check Performance
CHAPTER 12 Gate 1
STAGE 2: Backtest
CHAPTER 13 STAGE 2: Overview
CHAPTER 14 Gather Historical Data
CHAPTER 15 Develop Cleaning Algorithms
CHAPTER 16 Perform In – Sample / Out – of – Sample Tests
CHAPTER 17 Check Performance and Shadow Trade
CHAPTER 18 Gate 2
STAGE 3: Implement
CHAPTER 19 STAGE 3: Overview
CHAPTER 20 Plan and Document Technology Specifications
CHAPTER 21 Design System Architecture
CHAPTER 22 Build and Document the System
CHAPTER 23 Check Performance and Probationary Trade
CHAPTER 24 Gate 3
STAGE 4: Manage Portfolio and Risk
CHAPTER 25 STAGE 4: Overview
CHAPTER 26 Plan Performance and Risk Processes
CHAPTER 27 Define Performance Controls
CAHPTER 28 Perform SPC Analysis
CHAPTER 29 Determine Causes of Variation
CHAPTER 30 Kaizen: Continuous Improvement
- No. of pages: 304
- Language: English
- Edition: 1
- Published: February 29, 2008
- Imprint: Academic Press
- Hardback ISBN: 9780123725493
- eBook ISBN: 9780080559919
AK
Andrew Kumiega
Affiliations and expertise
Andy Kumiega [[email protected]]BV
Benjamin Van Vliet
Ben Van Vliet is a Lecturer at the Illinois Institute of Technology (IIT), where he also serves as the Associate Director of the M.S. Financial Markets program. At IIT he teaches courses in quantitative finance, C++ and .NET programming, and automated trading system design and development. He is vice chairman of the Institute for Market Technology, where he chairs the advisory board for the Certified Trading System Developer (CTSD) program. He also serves as series editor of the Financial Markets Technology series for Elsevier/Academic Press and consults extensively in the financial markets industry.
Mr. Van Vliet is also the author of "Modeling Financial Markets" with Robert Hendry (2003, McGraw Hill) and "Building Automated Trading Systems"(2007, Academic Press. Additionally, he has published several articles in the areas of finance and technology, and presented his research at several academic and professional conferences.
Affiliations and expertise
Lecturer and Associate Director, Masters in Financial Markets Program, Stuart School of Business, Illinois Institute of Technology, USARead Quality Money Management on ScienceDirect