![Scientific journal NRU ITMO
Series](/images/mag-ihbt.png)
Evaluation of the performance of automated trading systems based on non-parametric methods
![Scientific journal NRU ITMO
Series](/images/mag-ihbt.png)
Annotation
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.
Keywords
Постоянный URL
Articles in current issue
- Assessment of the effectiveness of the housing policy implementation in the regions of Russia
- Innovative model of personnel incentives
- The analysis of the relationship between the synthetic credit rating and the company's sustainability
- Expanded accumulation and reproduction of capital on the basis of innovation: an economic approach
- The model of innovative development of Russian industrial enterprises in the conditions of resource constrains
- Information support of the analysis of effectiveness of functioning of the national innovative environment
- Evaluation of the performance of automated trading systems based on non-parametric methods
- Methods for assessing and managing risks on resource-supplying enterprise (for example, PJSC «TGC-1»)
- Economic policy and functioning the Russian labor market in the conditions of crisis
- The methods of forecasting of innovative potential of the national economy of Russia
- Social, environmental and economic factors for development of rural territories
- Monitoring of the effectiveness of recycling: tasks and organization
- Business modeling – an instrument of competitivenessof an entrepreneurial organization
- Cognitive management and innovative strategies
- Particulars of cluster policy implementation for creating of organized recycling
- The prospects of development of system of the address with solid industrial wastes
- Municipal waste management: the experience of development of the territorial scheme of waste management at the example of Velikiy Novgorod