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| QUALITY MONEY MANAGEMENT
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Process Engineering and Best Practices for Systematic Trading and Investment
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By
Andrew Kumiega, Adjunct Professor, Stuart Graduate School of Business, Illinois Institute of Technology, formerly Director of Research at TD Waterhouse
Securities Options, one of the largest option market making firms in the US; Head of Financial Engineering at TFM Investments, LLC and
Market Liquidity Networks, both major options market makers, and Vice President of Quantitative Research at Calamos Asset Management
Benjamin Van Vliet, Lecturer in and the Associate Director of the Masters in Financial Markets Program, Stuart School of Business, Illinois Institute of Technology, USA
Description
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 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
Audience
Primary audience: 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
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
| Bibliographic details |
Hardbound, 304 pages, publication date: FEB-2008
ISBN-13: 978-0-12-372549-3
ISBN-10: 0-12-372549-6
Imprint: ACADEMIC PRESS
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| Price and Ordering |
Price:
USD 79.95
EUR 56.95
GBP 47.99
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Last update: 5 Sep 2009
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