Abstract
Algorithmic trading has seen astounding growth in the last few years. The abrupt growth has resulted in a failure of measurement tools to evaluate the performance. A move from the standard benchmark performance report into an in-depth investigative measurement technique is imminent. A proper measurement system involves three focal points: proper classification of similar algorithms, an accurate cost attribution system and a quantifiable execution quality analysis. Proper classification allows for comparison between multiple algorithms with similar intent. Accurate cost attribution is crucial in determining the impact of the algorithm's executions. A quantifiable execution analysis gives color into the propensities of the algorithm and logic on which it is built.
- © 2007 Pageant Media Ltd
Don’t have access? Register today to begin unrestricted access to our database of research.