Index 291
management
see also top management
process approach to 22
management styles 5–6
market analysis
competition 74
distribution channels 72–3
history of investment cycles 73–4
marketing channels 72–3
Money Document 71–4
target market 71
marketing channels, Money Document 72–3
Martin ’ s first law, documentation 6
maturity stage, life cycle 21
modeling software
see also programming; prototyping;
software...
defining 21
RDL 106–7
spreadsheet modeling 111–12
trading/investment strategy 37
Money Document 30, 67–77
assumptions 76–7
benefits 67–8
bottom-up innovation 68
business description 69–71, 92–3
competition 74
competitive advantage 70
constraints 76–7
costs, estimated development 75
data requirements 75–6
description 69–71, 92–3
distribution channels 72–3
fuzzy front end 77
history of investment cycles 73–4
market analysis 71–4
marketing channels 72–3
performance forecasts 70
product teams 70–1
projected revenues 75
purpose 67
research 70
risk 76–7
seed capital 74–7
target market 71
technological infrastructure requirements 75–6
time line 76
money management/trading
firms 45–6
quality 4
Monte Carlo benchmarking 241–2
Monte Carlo simulation, VaR 248–9
multifactor systems 62–3
multifactor long-short 65
multithreading, programming 207–8
network architecture see system architecture
network infrastructure, building the
system 211–12
network requirements, documenting 190
new calculations, prototyping 113
new methods
portfolio management 47–8
research 101–2
noise, communication 89
nonconformance, trading/investment
systems 238operational risk 7
Six Sigma 7
opportunities
innovation 57
types 57
optimize signals, backtesting 135
option data 141–2
end-of-day option prices 152–4
point-in-time data problem 152–4
out-of-control states, SPC 239
out-of-sample tests see in-sample/out-of-sample
tests
outliers, data 152
outputs/deliverables
analysis/design stage 85
backtesting 136
implementing 182
overview
analysis/design stage 81–6
backtesting 131–7
development 29–44
implementing 177–82
risk 229–35p charts, SPC 258–9
Pareto analysis, variation 265–6
PDCA cycle see plan-do-check-act cycle
peer group benchmarking 15–16
performance
nonconformance 238
planning 237–44
trading/investment strategy 37–8
performance attribution
attribution calculations 246–8
benchmarking 246–8
Brinson–Fachler Method 247–8
controls 239–42
risk 230–1, 233, 239–42
SPC 261
variation 268–9
performance checking 213–19
see also backtesting; testing
best practices 122, 168, 219