Tatyana N. Batova,Boris A. Varlamov,Yelena A. Pavlova,Nataliia A. Kasatkina,Marina N. Titova,



Algorithmic trading,automated trading system,economic effectiveness of information technologies,Economic value source estimation,


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 solutions


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