Quality money management : process engineering and best practices for systematic trading and investment /

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 failur...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor principal: Kumiega, Andrew
Otros Autores: Van Vliet, Benjamin
Formato: Electrónico eBook
Idioma:Inglés
Publicado: Amsterdam ; Boston : Elsevier/Academic Press, �2008.
Colección:Financial market technology series.
Temas:
Electronic trading of securities.
Finance > Mathematical models.
Investments > Mathematical models.
Financial engineering.
Valeurs mobili�eres > Commerce �electronique.
Finances > Mod�eles math�ematiques.
Investissements > Mod�eles math�ematiques.
Ing�enierie financi�ere.
BUSINESS & ECONOMICS > Investments & Securities > General.
Electronic trading of securities
Finance > Mathematical models
Financial engineering
Investments > Mathematical models
Acceso en línea:Texto completo
Tabla de Contenidos:
  • Contents
  • 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.

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