Index 289
outliers 152
point-in-time data problem 152–4
price 141–2
purchasing 140–6
ranking 154
reformatting 151–2
results tables 146
rounding 143
scaling 154
scanning 151–2
standardization 154
stock 141, 152–4
survey data needs 140–4
survey data vendors 140–4
synchronizing 155
testing 216
valuation 142–3
winsorizing outliers 152
data access tiers, software 194
data proportions, testing 159–60
data requirements, Money Document 75–6
database connections, building the system
208
database design, backtesting 133–4
deadlines
communication 188–9
technology specifications 188–9
decline stage, life cycle 21
decomposition, design process 196
definitions of terms 15–27
Delphi techniques 18–19
Wideband Delphi method 19
demeaning data 154
Deming, Dr. W. Edwards 2–3
description, Money Document 69–71, 92–3
design/analysis stage see analysis/design
stage
design and development
see also product realization
defining 19
design of experiments (DoE), variation 266
design process
benchmarking 198–9
conceptual design 197
decomposition 196
evaluating 197–9
test design 196–7
design stage, life cycle 21
development 4–7
fuzzy front end 56–7
overview 29–44
pre-development activities 56–7
quality approach 9–11
development team 178–9
diseases, seven deadly 9–10
distribution channels, Money Document 72–3
document
see also Money Document
defining 19
documenting/documentation 205–12
cleaning algorithms 155–6
communication 6, 87–91
data maps 146
ideas 87–91
interface requirements 190
Martin ’ s first law 6
network requirements 190
results tables 146
SAD 199–200, 208
software requirements 189
technology specifications 183–91
trade cost analysis 155–6
trading/investment strategy 36
trading/investment systems 6, 41
user 218
DoE see design of experiments
DTIM (Design, Test, Implement, Manage) 9end-of-day option prices, point-in-time data
problem 152–4
end-of-day stock prices, point-in-time data
problem 152–4
engineering, historical perspective 3
equity portfolio systems, testing 159
estimated development costs, Money
Document 75
evaluating, design process 197–9
EWMA charts see exponentially weighted
moving average charts
Excel see spreadsheet modeling
exception handling, building the system 210
exponentially weighted moving average
(EWMA) charts, SPC 260failure mode and effects analysis,
variation 264
filter systems 62
example 64–5
final audit, performance checking 216–17
finance, historical perspective 3
financial engineering 19–20
financial statement data 143
fishbone diagrams, variation 264–5
Five Whys technique, variation 264
fixed income data 142
fixed income portfolio systems, testing 160
full trading, defining 26
fundamental data 143
futures data 142