Andrew Kumiega, Benjamin Van Vliet

Gebundenes Buch

Quality Money Management

Process Engineering and Best Practices for Systematic Trading and Investment

Beschreibung

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

Autor

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.

Produktdetails

• Financial Market Technology
• Verlag: Academic Press
• Artikelnr. des Verlages: B978-0-12-372549-3.X0001-8
• Englisch
• Abmessung: 17mm x 178mm x 254mm
• Gewicht: 848g
• ISBN-13: 9780123725493
• ISBN-10: 0123725496
• Artikelnr.: 23276433

Rezensionen

"Benjamin Van Vliet and Andrew Kumiega give a complete and methodological approach to building trading and investment systems. They cover all you need to know to understand back-testing and prototyping of trading algorithms. Our team had their methodology in mind when they designed our analytical tool, Resolver One, to ensure quality, reliability and consistency when developing trading systems from ideas through prototype to production. A one-stop book for building systematic trading and investment systems.--Jean Viry-Babel, Head of Sales, ResolverSystems, London, United Kingdom

"I believe Kumiega and Van Vliet's blending of two disciplines - Quality and Finance - is the next step in the evolution of the financial industry. This

approach will make financial processes more effective and efficient."--M. Zia Hassan, Fellow of the American Society for Quality, Dean Emeritus and Professor, Stuart School of Business, Chicago IL

"Andrew Kumiega, a manager in charge of software testing at a Chicago-based trading firm and co- author of 'Quality Money Management,' a book that discusses the importance of standards for financial technology, says he is not surprised by the software glitch suffered by Knight because automated trading is still a young industry. It has yet to establish industry-wide standards and frequently suffers from the cross-purposes of three competing groups: traders who view their primary goal as trading success while upholding securities regulations, programmers who focus on coding and creating well designed software, and quantitative analysts who hone in on the mathematics that underpin many trading software efforts. 'If you look at these three groups, the tactics they employ for effective software testing are all completely different,' Kumiega said."--Institutional Investor