Samenvatting

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

Specificaties

ISBN13:9780123725493
Taal:Engels
Bindwijze:Gebonden

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Inhoudsopgave

Contents<br>Preface<br>CHAPTER 1 Introduction<br>CHAPTER 2 Key Concepts and Definitions of Terms<br>CHAPTER 3 Overview of the Trading/Investment System Development Methodology<br>CHAPTER 4 Managing Design and Development<br>CHAPTER 5 Types of Trading Systems<br>CHAPTER 6 Stage 0: The Money Document<br>STAGE 1: Design and Document Trading/Investment Strategy <br>CHAPTER 7 STAGE 1: Overview<br>CHAPTER 8 Describe Trading/Investment Idea<br>CHAPTER 9 Research Quantitative Methods<br>CHAPTER 10 Prototype in Modeling Software<br>CHAPTER 11 Check Performance<br>CHAPTER 12 Gate 1<br>STAGE 2: Backtest<br>CHAPTER 13 STAGE 2: Overview<br>CHAPTER 14 Gather Historical Data<br>CHAPTER 15 Develop Cleaning Algorithms<br>CHAPTER 16 Perform In – Sample / Out – of – Sample Tests<br>CHAPTER 17 Check Performance and Shadow Trade <br>CHAPTER 18 Gate 2<br>STAGE 3: Implement<br>CHAPTER 19 STAGE 3: Overview<br>CHAPTER 20 Plan and Document Technology Specifications<br>CHAPTER 21 Design System Architecture<br>CHAPTER 22 Build and Document the System<br>CHAPTER 23 Check Performance and Probationary Trade<br>CHAPTER 24 Gate 3<br>STAGE 4: Manage Portfolio and Risk<br>CHAPTER 25 STAGE 4: Overview<br>CHAPTER 26 Plan Performance and Risk Processes<br>CHAPTER 27 Define Performance Controls<br>CAHPTER 28 Perform SPC Analysis<br>CHAPTER 29 Determine Causes of Variation<br>CHAPTER 30 Kaizen: Continuous Improvement

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        Quality Money Management