Quality Money Management: Process Engineering and Best Practices for Systematic Trading and Investment (Financial Market Technology) - Hardcover

Kumiega, Andrew; Van Vliet, Benjamin

 
9780123725493: Quality Money Management: Process Engineering and Best Practices for Systematic Trading and Investment (Financial Market Technology)
Hardcover
ISBN 10: 0123725496 ISBN 13: 9780123725493
Publisher: Academic Press, 2008

Synopsis

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

  • 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

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About the Author

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.

"About this title" may belong to another edition of this title.

Publisher
Academic Press
Publication date
2008
Language
English
ISBN 10 
0123725496
ISBN 13 
9780123725493
Binding
Hardcover
Edition number
1
Number of pages
304