Authors:
Tatyana N. Batova,Boris A. Varlamov,Yelena A. Pavlova,Nataliia A. Kasatkina,Marina N. Titova,DOI NO:
https://doi.org/10.26782/jmcms.spl.10/2020.06.00026Keywords:
Algorithmic trading,automated trading system,economic effectiveness of information technologies,Economic value source estimation,Abstract
Since share of algorithmic trading in the global foreign exchange-market increases, justifying an appropriateness and evaluation of economic effectiveness of using a particular automated trading system is becoming increasingly relevant. Considering that automated trading system is a full-featured software, methods for estimating effectiveness of information technologies shall be utilized to identify effectiveness of using thereof. Thus, in this work the methods for estimating effectiveness of information technologies have been analyzed, without regard to the subject area. The following groups of methods have been considered: cost-based methods; methods for estimating a direct result; methods on the basis of estimating ideality of a process; qualimetric methods. It should be noted that there are no methods ready for practical use. The primary challenge here is in choosing parameters and estimating the results of introducing information technologies. With no any uniform approach, the paper suggests that one of methods for evaluating a direct result, namely, Economic value sourceestimation method should be used to estimate effectiveness of automated trading systems. In a general way, this method implies that the four parameters are applied: an increase in income, growth in labor productivity, reduction ofin-service time, minimization of risks. This method cannot be said to be suitable for obtaining an objective and accurate assessment of effectiveness of using automated trading system. Therefore, when adjustment to the particular case and certain conditions associated with trading in the foreign exchange market, is made, the benefits shall be evaluated that accrue from automated trading system for trade expert as compared to manual trading within one time period and one trading strategy. The paper suggests that the conclusions about effectiveness of automated trading system should be made by the following parameters: an increase in trade expert’s income, an increase in the number of transactions made, acceleration of trading process, minimization of risks. A comparison is made between trading results of trade expert and P.Scalp automated trading system after having employed one trading strategy over 4 months. Computations have shown cost-effectiveness of using automated trading system by all parameters: income of automated trading system is higher by 23%; automated trading system made 1.5 times more transactions than a trade expert made; automated trading system 19 days earlier reached the same income as that earned by a trade expert; use ofautomated trading system reduces the risks of losing proceeds more than twice. The practical value of the carried out study lies in justifying an appropriateness of using parameters suggested in the paper to evaluate economic effectiveness of automated trading systems within Economic value source estimation method. To correctly choose effectiveness parameters is essentially equivalent to a proper statement of a problem. It enables to identify an area of feasible solutionsRefference:
I. Algorithmic trading in financial markets. URL: http://gasinv.ru/algoritmicheskaya-torgovlya-na-finansovykh-rynkakh
II. Anisiforov A.B., Anisiforova L.O. Methodologies for evaluating effectiveness of information systems and information technologies in business. St. Petersburg, 2014. URL: http://elib.spbstu.ru/dl/2/3876.pdf/download/3876.pdf
III. Approaches and methods for estimating effectiveness of using information URL: studfiles.net / Accessibility mode: https://revolution.allbest.ru/programming/d00520516.html
IV. Batova T.N., Khomkov A.V. Evaluation of appropriateness of using automated trade systems in the foreign exchange market // «Economics and Enterprise». 2016; 12 (2).
V. Batova T.N., Sizova T.M., Khomkov A.V., Evaluation of effectiveness of automated trading systems on the basis of nonparametric methods//Economics and environmental management . 2017; 4(31).
VI. ENERGY OF YOUTH FOR RUSSIAN ECONOMY 13th International conference – Publishing house of Tomsk Polytechnic University, 2012. URL: http://www.lib.tpu.ru/fulltext/c/2012/C23/V1/C23_V1.pdf
VII. Estimation of effectiveness of information systems. http://docplayer.ruURL:/50357324-Ocenka-effektivnosti-informacionnyh-sistem-ponyatie-effektivnosti-sovremennye-metody-ocenki.html
VIII. Fedotova G.V., BotnarS.Yu. [Online resource]. URL: https://cyberleninka.ru/article/n/osobennosti-algoritmicheskoy-torgovli-na-fondovom-rynke
IX. FOREX Systems – FOREX trading systems. Classification of forex trading systems. URL:http://forexsystems.vx5.ru/index.php?start=3
X. Free and ready-made trading robots are dangerous for investors. URL: http://www.wealthinvestor.ru/articles/fondovyy_rynok/besplatnye_i_gotovye_torgovye_roboty_opasny_dlya_investorov
XI. Free web-service to analyze and publish trading results. URL: http://www.myfxbook.com/
XII. Independent rating of trading robots. URL: http://www.expertadvisorsforex
XIII. INTERFAX-100. Rating of forex-brokers in Russia, 2015. URL: http://www.finmarket.ru/database/rankings/?rt=24
XIV. Kryukov P.A. Trade operations on Forex exchange market as financial investments // Problems of accounting and finances. 2014; 3 (15): 51-55.
XV. Mathematical statistics. Spearman’s rank correlation coefficient. URL: http://statpsy.ru/spearman/correlation-srearman/
XVI. Morozov I.V., Fatkhullin P.P. FOREX: From simple to complicated. М.: Alpina Publisher, 2015.
XVII. Models for computing Total cost of ownership (TCO). URL:http://cdn.scipeople.com/materials/3700/Семенихина.pdf
XVIII. MyFin – financial portal, «forex» articles. Advantages and disadvantages of FOREX robots. URL: http://myfin.by/stati/view/1314-dostoinstva-i -nedostatki-robotov-foreks-fxlin
XIX. Portal for development of software and value-added services: providing services, including software, to brokers, traders, and developers: URL: http://www.fxblue.com/
XX. Portal for testing trading robots (experts and advisers). URL: http://www.bestforexrobots.net.
XXI. Portal for comparing results of trading systems’ effectiveness. URL: http://www.reviewforexrobots.com/top-forex-robots.html
XXII. SEC-required report on routing of customer order. URL: https://russellinvestments.com/-/media/files/us/legal/sec-606-reporting-06302017.pdf?la=en
XXIII. Teaching forex – portal, a complete guide to Algotrading on FOREX. URL: http://tradelikeapro.ru/polnyiy-gayd-po-algotreydingu/.
XXIV. Technical Analysis for Forex trading with the examples on MQL4 [Online resource]. URL: http://www.studmed.ru/view/tehnicheskiy-analiz-dlya-torgovli-na-foreks-s-primerami-na-mql4_a0d7592.html/#1
XXV. Volodin S.N. Effectiveness of methods for technical analysis of priority operations on stock market. М.: National Research University “Higher School of Economics”, 2013. URL: https://www.hse.ru/data/xf/2013/04/12/1293861790/volodin.pdf
XXVI. Zubakov A.P., Kiseleva E.A. Development of robot for efficient trading on forex market. URL: https://cyberleninka.ru/article/n/razrabotka-robota-dlya-effektivnoy-torgovli-na-rynke-foreks
View | Download