- Hardcover: 224 pages
- Publisher: Academic Press; 1 edition (14 April 2008)
- Language English
- ISBN-10: 0123725496
- ISBN-13: 978-0123725493
- Product Dimensions: 26.1 x 19 x 2.7 cm
- Amazon Bestsellers Rank: 1,160,951 in Books (See Top 100 in Books)
Quality Money Management
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Product Description
Review
"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
Product Description
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 quickly 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|V) has been presented in numerous journal articles and at academic and industry conferences and is rapidly being accepted as the preferred business process for the institutional trading and hedge fund industries for development, presentation, and evaluation of trading and investment systems. The K|V model for trading system development combines new product development, project management and software development methodologies into one robust system. After four stages, the methodology requires repeating the entire waterfall for continuous improvement. The discussion quality and its applications to the front office is presented using lessons learned by the authors after using the methodology in the real world. As a result, it is flexible and modifiable to fit various projects in finance in different types of firms. Their methodology works equally well for short-term trading systems, longer-term portfolio management or mutual fund style investment strategies as well as more sophisticated ones employing derivative instruments in hedge funds. Additionally, readers will be able to quickly modify the standard K|V methodology to meet their unique needs and to quickly build other quantitatively drive applications for finance. At the beginning and the end of the book the authors pose a key question: Are you willing to change and embrace quality for the 21st century or are willing to accept extinction? The real gem in this book is that the concepts give the reader a road map to avoid extinction. This book presents a robust process engineering framework for developing and evaluating trading and investment systems. It offers best practices along the step-by-step process will mitigate project risk, model risk, and ensure data quality. It includes a quality model for backtesting and managing market risk of working systems.
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8 reviews
6 of 6 people found the following review helpful
An Essential Reference Book Blending Quality, Best Practices & Process Engineering
14 May 2008
Format:Hardcover
Quality Money Management is an impressive reference book, very well laid out and pleasing to read. The book presents an innovative methodology that combines quality best practices with Investment Management. The chapter describing the components of the methodology alone is worth having the book on my desk. The book has an innovation technique of using a 'Money Document' deliverable to formalize a business case for presenting to seed capital investors to fund a new investment strategy. The stages and the numerous techniques in the Quality Money Management Methodology provides a clear systematic roadmap for a complex initiative of developing, testing and managing the portfolio of a new trading system. This book is a key tool in my knowledge base that takes my deliverables to a new level of quality and fluidity.
4 of 4 people found the following review helpful
Excellent framework for systematic trading process.
19 Dec 2008
Format:Hardcover
Quality Money Management (QMM) is an excellent book, providing a framework for business systems processes in asset management firms.
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QMM offers method and structure aiming for "best practices" for investment management firms. This is a excellent work for those rolling out a new strategy, fund offering, or business line.
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The focus is on systematic trading, but many of these processes are adaptable for custody chain or decision making for more discretionary investment methods, however the emphasis is on complex market microstructure and the developing, testing and managing portfolios of a new trading system.
.
Emphasis is additionally on financial software and human interface with software, so this is an excellent resource for those who support or develop application for traders.
.
The cycle of "continuous improvement" is as old as Edward W. Deming's pioneering work in the 1950s, however it is refreshing to see it applied to making systematic trading smooth.
.
This is an excellent book for improving a framework in place, or for starting from scratch.
.
QMM offers method and structure aiming for "best practices" for investment management firms. This is a excellent work for those rolling out a new strategy, fund offering, or business line.
.
The focus is on systematic trading, but many of these processes are adaptable for custody chain or decision making for more discretionary investment methods, however the emphasis is on complex market microstructure and the developing, testing and managing portfolios of a new trading system.
.
Emphasis is additionally on financial software and human interface with software, so this is an excellent resource for those who support or develop application for traders.
.
The cycle of "continuous improvement" is as old as Edward W. Deming's pioneering work in the 1950s, however it is refreshing to see it applied to making systematic trading smooth.
.
This is an excellent book for improving a framework in place, or for starting from scratch.
6 of 7 people found the following review helpful
Treasure chest
11 April 2008
Format:Hardcover
This book is a valuable checklist for managers responsible for the development of financial (software) systems. Development teams will profit by studying this book before starting a new project.
Although formal process quality improvement has been around for several years, the contribution of these authors is unique in the way they have combined the best of the many techniques available and explained where and when their use is appropriate in the development of a financial application.
The reader should be aware that despite its encyclopedic and cookbook appearance, this book is only a starting point for the practitioner. As the authors point out: Every project will need its own customized set of processes. Their K|V methodology provides the framework.
The second thing to be aware of is that a book that covers the entire methodology can not possibly cover the details on all techniques. It is especially important to keep this in mind in the quality improvement area where technique seem trivial. In my own experience I have seen teams dismiss techniques such as the "Five whys" and fish-bone diagrams, because their facilitators were insufficiently aware of the subtleties of these methods. Both of these techniques are described in the book in sufficient manner so that the prospective user will understand their usefulness. The next step will be to learn the details in specialized books. Similar comments could be made in regards to code inspections and reviews.
There are many more techniques in this book with whom I do not have personal experience, so I am extrapolating when assuming that the level of treatment would be the same. If it were not, than we could complain about unequal treatment. If it is, then we still have an excellent book that not only raises awareness but also gives very direct and specific guidelines.
An advantage of the chosen level is that the book can touch upon many more techniques without being too voluminous.
And maybe most importantly, it keeps it readable for higher management which is important when using the book to get their support.
Teams starting a new project should read this together, then decide how to proceed. Teams finding themselves drowning might very well find some ideas to work themselves out of their problems.
Although formal process quality improvement has been around for several years, the contribution of these authors is unique in the way they have combined the best of the many techniques available and explained where and when their use is appropriate in the development of a financial application.
The reader should be aware that despite its encyclopedic and cookbook appearance, this book is only a starting point for the practitioner. As the authors point out: Every project will need its own customized set of processes. Their K|V methodology provides the framework.
The second thing to be aware of is that a book that covers the entire methodology can not possibly cover the details on all techniques. It is especially important to keep this in mind in the quality improvement area where technique seem trivial. In my own experience I have seen teams dismiss techniques such as the "Five whys" and fish-bone diagrams, because their facilitators were insufficiently aware of the subtleties of these methods. Both of these techniques are described in the book in sufficient manner so that the prospective user will understand their usefulness. The next step will be to learn the details in specialized books. Similar comments could be made in regards to code inspections and reviews.
There are many more techniques in this book with whom I do not have personal experience, so I am extrapolating when assuming that the level of treatment would be the same. If it were not, than we could complain about unequal treatment. If it is, then we still have an excellent book that not only raises awareness but also gives very direct and specific guidelines.
An advantage of the chosen level is that the book can touch upon many more techniques without being too voluminous.
And maybe most importantly, it keeps it readable for higher management which is important when using the book to get their support.
Teams starting a new project should read this together, then decide how to proceed. Teams finding themselves drowning might very well find some ideas to work themselves out of their problems.
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