Optimal Trading of ETFs: Spreadsheet Prototypes and Applications to Client-Server Applications

Andrew Kumiega () and Ben Van Vliet ()
Additional contact information
Andrew Kumiega: Center for Professional Development, Illinois Institute of Technology, Chicago, Illinois 60616
Ben Van Vliet: Stuart School of Business, Illinois Institute of Technology, Chicago, Illinois 60661

Interfaces, 2008, vol. 38, issue 4, 289-299

Abstract: This paper presents an application of an Excel spreadsheet-development methodology used by quantitative analysts and traders in financial markets. The spreadsheet used regression and Excel's Solver to determine the optimal investment of a firm's risk capital. The proprietary methodology used to develop real-time trading tools and its repetitive design structure allowed the firm to become a market-maker exchange traded fund (ETF) rapidly. By adhering to the methodology, the firm's documentation of user requirements, data inputs, calculations, and user interfaces, and a full prototype using Excel, made incremental growth possible and provided a solid foundation for conversion into coded software. Rapid development gave the firm the opportunity to derive revenue from market-making activities in new investment products; these would become a major source of revenue. This methodology, which the authors presented in 2001 at the International Conference on Software Quality in Pittsburgh, Pennsylvania, and its implementation led to the development of a complete trading-system development methodology.

Keywords: securities; brokerage; trading; system design; operations; OR/MS implementation (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://dx.doi.org/10.1287/inte.1080.0359 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:orinte:v:38:y:2008:i:4:p:289-299

Access Statistics for this article

More articles in Interfaces from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().