Scientific journal NRU ITMO
Series "Economics and Environmental Management"
Registration certificate ЭЛ № ФС 77 – 55411 от 17.09.2013
registered by the Federal Inspectorate Service for Communication, Information Technologies and Communication Media

December 2017 (published: 20.12.2017)

Number 4(31)

Home > Issue > Evaluation of the performance of automated trading systems based on non-parametric methods

UDC 336.764/.768+311.14

Evaluation of the performance of automated trading systems based on non-parametric methods

Sizova T.M. , Khomkov A.V. , Batova T.N.

The concept and essence of algorithmic trade in the international currency market are considered, varieties of trading systems (trading robots) are studied, the classification of automated trading systems (ATS) is carried out, advantages and disadvantages of using automatic telephone exchanges in real currency trading are identified and evaluated. For the selection of units of the reference group, independent ratings of manufacturers of automated trading systems were studied, an analysis of the work of automated trading systems operating according to the same strategies was made, but from different price categories. For each automated trading system (a total of 12 automatic tradingsystemss were selected), the main performance indicators used by many brokerage firms and development companies were selected to analyze the work of trading robots. Based on the received performance indicators of the automatic telephone exchange, the overall performance index of the automatic telephone exchange was calculated. Calculation of this indicator was carried out on the basis of normalization of unipolar partial indicators with the use of the additive model. Ranks of automatic telephone exchange are built on the basis of efficiency and price. The connection between these ranks was estimated using the Spearman correlation coefficient and its significance. Conclusions were made about the correlation of price indicators and the effectiveness of trading systems chosen for the study. It should be noted that the calculation of the overall performance index is of interest for determining the competitiveness of individual automatic telephone exchanges, which, in turn, can be used by both ordinary consumers of the trading robot market and by development companies to determine the competitiveness of their developments and developments of other market players.
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Keywords: currency market, currency trading, automatic trading system, trading robot, trading indicators, rating building, nonparametric estimation methods.

DOI 10.17586/2310-1172-2017-10-4-54-63

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