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Quality Money Management: Process Engineering and Best Practices for Systematic Trading and Investment (Financial Market Technology) Hardcover – March 14, 2008

ISBN-13: 978-0123725493 ISBN-10: 0123725496 Edition: 1st

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Product Details

  • Series: Financial Market Technology
  • Hardcover: 304 pages
  • Publisher: Academic Press; 1 edition (March 14, 2008)
  • Language: English
  • ISBN-10: 0123725496
  • ISBN-13: 978-0123725493
  • Product Dimensions: 10.3 x 7.5 x 1.1 inches
  • Shipping Weight: 1.7 pounds (View shipping rates and policies)
  • Average Customer Review: 4.5 out of 5 stars  See all reviews (8 customer reviews)
  • Amazon Best Sellers Rank: #1,497,974 in Books (See Top 100 in Books)

Editorial Reviews

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

"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

About the Author

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.

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Customer Reviews

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I have read all of Van Vliet's books on this subject and even taken a class he taught.
D. Nick
Quality Money Management (QMM) is an excellent book, providing a framework for business systems processes in asset management firms. .
Bachelier
Variation is a big weakness of any system that could undercut a great trading strategy.
Joe

Most Helpful Customer Reviews

6 of 6 people found the following review helpful By Amazon Customer on May 13, 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.
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4 of 4 people found the following review helpful By Bachelier on December 19, 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.
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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.
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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.
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This is an excellent book for improving a framework in place, or for starting from scratch.
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6 of 7 people found the following review helpful By Leon J. Peeters on April 11, 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.
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3 of 3 people found the following review helpful By Dimitri Shvorob on September 4, 2010
Format: Hardcover
I feel bad about docking a point from a book that is original, thoroughly planned, meticulous and engagingly written. My reservations are about its practical value.

The authors envisage a guide for students entering the field of investment management. Those about to set up and run their own investment companies, or at least head up a team at one, will discover a valuable aid. The rest might be disappointed.

In my experience, people specialize, newbies start in junior, supervised roles and learn on the job. Much of the book's content will be useless for non-managers (non-CEOs, even); the rest are things that I would expect to come with common sense (all the consultingspeak) and modest amount of experience. Does a hedge-fund principal need to consult "Quality Money Management" on how to write the prospectus? Does a research-team leader need to be explained the importance of clean data or the concept of backtesting? Does a researcher need to be reminded to use a consistent notation in his/her write-ups? If any of those is looking for a book, wouldn't a specialized reference be a better investment?

One-of-a-kind, thoughtful, methodical, educational - but not exactly bread-and-butter useful.
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