Quality money management [electronic resource] : process engineering and best practices for systematic trading and investment / Andrew Kumiega, Benjamin Van Vliet.
By: Kumiega, Andrew.
Contributor(s): Van Vliet, Benjamin | ScienceDirect (Online service)
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Series: The financial market technology series: Publisher: Amsterdam ; Boston : Elsevier/Academic Press, c2008Description: viii, 295 p. : ill. ; 27 cm.ISBN: 9780123725493; 0123725496.Subject(s): Electronic trading of securities | Finance -- Mathematical models | Investments -- Mathematical models | Financial engineeringGenre/Form: Electronic books.Additional physical formats: No titleDDC classification: 332.6 Online resources: An electronic book accessible through the World Wide Web; click for information | Item type | Current location | Call number | Status | Notes | Date due | Barcode |
|---|---|---|---|---|---|---|
| Main Collection | Taylor's Library - Perpetual(TU) | 332.6 (Browse shelf) | e-book | TBSxx,44001,03,CL,PPT |
Includes bibliographical references (p. 279-285) and index.
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.
Electronic reproduction. Amsterdam : Elsevier Science & Technology, 2008. Mode of access: World Wide Web. System requirements: Web browser. Title from title screen (viewed on May 14, 2008). Access may be restricted to users at subscribing institutions.