Limitations in today's
software packages for financial modeling system development can threaten the viability of
any system not to mention the firm using that system. Modeling Financial Markets is the
first book to take financial professionals beyond those limitations to introduce safer,
more sophisticated modeling methods. It contains dozens of techniques for financial
modeling in code that minimize or avoid current software deficiencies, and addresses the
crucial crossover stage in which prototypes are converted to fully coded models.
A Step-by-Step Process for
Reaching the Next Level of Sophistication and Success In Financial Modeling and Trading
System Development
Financial markets
professionals today must sort, analyze, and act upon incredible amounts of data. This has
led to increasing reliance on computer-based risk management models. Limitations in
popular software packages for financial modeling system development, however, can threaten
the viability of any system not to mention the firm using that system.
Modeling Financial Markets
takes traders and money managers beyond those limitations by helping them design more
consistent, sophisticated, and versatile modeling methods. This high-level, hands-on book
features:
Guidelines for maneuvering
around the Visual Basic.NET integrated development environment (IDE) and customizing it to
improve your development efficiency
Dozens of innovative and
useful techniques for financial modeling in code that minimize or avoid current software
deficiencies
An approach for delivering
an evaluation and specification prototype in Excel, one that is scalable into either
VB.NET or another implementation language
The need for complex yet
usable financial modeling systems has never been greater. Let Modeling Financial Markets
help you progress beyond static modeling programs to more sophisticated system development
processes, then implement those processes in your actual trading methodology.
In a sense, this book
marries four disciplines--computer science, quantitative finance, trading strategy and
quality development--into one, financial engineering. It is about modeling financial
instruments in code and putting the pieces, or models, together to create an automated
trading or risk management system. Lets get started...
From the Introduction
Human traders--using
strategies that combine technical and fundamental indicators with gut instincts and market
savvy--are quite possibly an endangered species. They are being replaced by quantifying
trading systems capable of watching hundreds of securities and derivatives simultaneously
and, at the exact second that conditions are most favorable, executing hundreds of
strategies in a millisecond.
These systems, however, must
still be designed and constructed by financial engineers. Modeling Financial Markets is
todays most in-depth exploration of the Visual Basic.NET programming concepts that relate
to research, testing, and implementation of pricing models, trading systems, and risk
management systems. It provides innovative techniques for overcoming systemic shortcomings
in Excel/VBA, along with insights and guidelines for managing the crucial, sink-or-swim
crossover stage when prototypes are converted to fully coded models.
Virtually every vital tool
needed to construct and implement a quantitative trading or risk management system is
detailed, providing you with a basic understanding of:
- Visual Basic.NET
- Relational database design
- Structured Query Language
(SQL)
- Extensible Markup Language
(XML)
- Financial industry protocol
FIXML
- Object Oriented programming
(OOP)
Application Programming Interfaces (API) for optimization
- API for market data feeds,
trade entry, and trade fill information
- Objects and collections to
clean data
- In sample / out of sample
testing
- Code for matrix algebra and
multiple linear regression
Modeling Financial Markets
builds several important financial topics from the ground up, and always places the
emphasis on the implementation of systems in actual trading situations and arenas.
Sophisticated yet written and arranged for easy understanding and implementation, it is
the first book to take finance professionals beyond the limitations of todays software and
processes to introduce safer, more effective, and more accurate financial modeling
methods.
Author Biography
Benjamin Van Vliet is the
associate director of the M.S. in Financial Markets program at the Stuart Graduate School
of Business, Illinois Institute of Technology in Chicago, where he teaches courses in
quantitative finance and modeling. He is also a principal at the Office for Market
Technology, Inc., a consulting company that provides its clients with trading automation
solutions, corporate training, and research in the financial markets.
Robert Hendry is an
independent software development consultant specializing in client/server and Internet
projects for Fortune 500 companies. An instructor at the Illinois Institute of Technology,
Hendry is editor in chief of the PowerBuilder Developers Journal, product reviewer for
Wireless Business & Technology magazine, and a member of the USA Today Technology
Panel.
382 pages+CD