000 06688cam a2200565Ia 4500
001 ocn228148406
003 OCoLC
005 20180529114227.0
008 080516s2008 ne a ob 001 0 eng d
019 _a232968193
_a426466233
_a473206903
_a475406953
_a505072848
_a646747471
_a712978371
_a798586258
020 _a9780123725493
020 _a0123725496
020 _a9780080559919
_q(electronic bk.)
020 _a0080559913
_q(electronic bk.)
020 _a1281272787
020 _a9781281272782
035 _a(OCoLC)228148406
040 _aDLC
_beng
_cDLC
_dAU
049 _aAlfaisal Main Library
050 4 _aHG4515.95
_b.K86 2008eb
100 1 _aKumiega, Andrew.
245 1 0 _aQuality money management :
_bprocess engineering and best practices for systematic trading and investment /
_cAndrew Kumiega, Benjamin Van Vliet.
260 _aAmsterdam ;
_aBoston :
_bElsevier/Academic Press,
_c©2008.
300 _a1 online resource (viii, 295 pages) :
_billustrations.
336 _atext
_btxt
_2rdacontent
337 _acomputer
_bc
_2rdamedia
338 _aonline resource
_bcr
_2rdacarrier
490 1 _aThe financial market technology series
520 _aThe 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 KV) has been presented in numerous journal articles and at academic and industry conferences and is rapidly being accepted as the preferred business process for the institutional trading and hedge fund industries for development, presentation, and evaluation of trading and investment systems. The KV model for trading system development combines new product development, project management and software development methodologies into one robust system. After four stages, the methodology requires repeating the entire waterfall for continuous improvement. The discussion quality and its applications to the front office is presented using lessons learned by the authors after using the methodology in the real world. As a result, it is flexible and modifiable to fit various projects in finance in different types of firms. Their methodology works equally well for short-term trading systems, longer-term portfolio management or mutual fund style investment strategies as well as more sophisticated ones employing derivative instruments in hedge funds. Additionally, readers will be able to quickly modify the standard KV methodology to meet their unique needs and to quickly build other quantitatively drive applications for finance. At the beginning and the end of the book the authors pose a key question: Are you willing to change and embrace quality for the 21st century or are willing to accept extinction? The real gem in this book is that the concepts give the reader a road map to avoid extinction. * 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.
505 0 _aContents -- Preface -- CHAPTER 1Introduction -- CHAPTER 2Key Concepts and Definitions of Terms -- CHAPTER 3Overview of the Trading/Investment System Development Methodology -- CHAPTER 4Managing Design and Development -- CHAPTER 5Types of Trading Systems -- CHAPTER 6Stage 0: The Money Document -- STAGE 1: Design and Document Trading/Investment Strategy -- CHAPTER 7STAGE 1: Overview -- CHAPTER 8Describe Trading/Investment Idea -- CHAPTER 9Research Quantitative Methods -- CHAPTER 10Prototype in Modeling Software -- CHAPTER 11Check Performance -- CHAPTER 12Gate 1 -- STAGE 2: Backtest -- CHAPTER 13STAGE 2: Overview -- CHAPTER 14Gather Historical Data -- CHAPTER 15Develop Cleaning Algorithms -- CHAPTER 16Perform In Sample / Out of Sample Tests -- CHAPTER 17Check Performance and Shadow Trade -- CHAPTER 18Gate 2 -- STAGE 3: Implement -- CHAPTER 19STAGE 3: Overview -- CHAPTER 20Plan and Document Technology Specifications -- CHAPTER 21Design System Architecture -- CHAPTER 22Build and Document the System -- CHAPTER 23Check Performance and Probationary Trade -- CHAPTER 24Gate 3 -- STAGE 4: Manage Portfolio and Risk -- CHAPTER 25 STAGE 4:Overview -- CHAPTER 26Plan Performance and Risk Processes -- CHAPTER 27Define Performance Controls -- CAHPTER 28Perform SPC Analysis -- CHAPTER 29Determine Causes of Variation -- CHAPTER 30Kaizen: Continuous Improvement.
504 _aIncludes bibliographical references (pages 279-285) and index.
588 0 _aPrint version record.
590 _aElsevier
_bScienceDirect All Books
650 0 _aElectronic trading of securities.
650 0 _aFinance
_xMathematical models.
650 0 _aInvestments
_xMathematical models.
650 0 _aFinancial engineering.
650 7 _aBUSINESS & ECONOMICS
_xInvestments & Securities
_xGeneral.
_2bisacsh
650 7 _aElectronic trading of securities.
_2fast
_0(OCoLC)fst00907498
650 7 _aFinance
_xMathematical models.
_2fast
_0(OCoLC)fst00924398
650 7 _aFinancial engineering.
_2fast
_0(OCoLC)fst00924623
650 7 _aInvestments
_xMathematical models.
_2fast
_0(OCoLC)fst00978277
655 7 _aElectronic books.
_2local
700 1 _aVan Vliet, Benjamin.
710 2 _aScienceDirect eBooks.
776 0 8 _iPrint version:
_aKumiega, Andrew.
_tQuality money management.
_dAmsterdam ; Boston : Elsevier/Academic Press, ©2008
_z9780123725493
_z0123725496
_w(DLC) 2007052636
_w(OCoLC)190596306
830 0 _aFinancial market technology series.
856 4 0 _uhttp://ezproxy.alfaisal.edu/login?url=https://www.sciencedirect.com/science/book/9780123725493
942 _2lcc
_cEBOOKS
264 _c©2008.
999 _c526006
_d526006