JP2005100148A - System and method for evaluating execution of buying and selling of financial commodity in financial market - Google Patents

Abstract

<P>PROBLEM TO BE SOLVED: To evaluate in a more detailed and accurate manner how well the buying and selling of financial commodities have been conducted. <P>SOLUTION: A VWAP profit/loss factor analysis means 107 evaluates transactions conducted by a trader. VWAP profits or losses which are differences between VWAP for the transactions conducted by the trader and VWAP for transactions at the market are separated by a market factor evaluation means 109, a timing factor evaluation means 111 and a real price factor evaluation means 112 into a market factor showing the profits or losses resulting from market fluctuations, a timing factor showing profits or losses caused by the selection of a time zone when the trader conducts selling or buying, and a real price factor showing profits or losses caused by the prices at which the trader conducts selling or buying. The results are output by a data output means 108. <P>COPYRIGHT: (C)2005,JPO&NCIPI

Description

  The present invention relates to a system and method for evaluating the execution of trading transactions for financial products in a financial market.

  Transactions of financial products such as stocks and bonds by institutional investors are generally entrusted to traders such as securities companies. For this reason, institutional investors, who are business consignees, to which traders should be entrusted to execute transactions, or how much competence the requested traders have conducted, There is a great need to evaluate such trade execution.

  To meet such needs, for example, based on how far the price traded by the trader differs from the market price using VWAP (Volume Weighted Average Price) as an index, Something like evaluation is being done. Here, VWAP is a weighted average of the price at which a transaction is completed by the volume for each price, and when an investor entrusts a trading transaction to a trader, the trading execution is performed at an average price per day. For this purpose, it is becoming common to direct the execution of trading with VWAP. In such a transaction, it can be said that the more effective the transaction execution was, the more the VWAP of the executed transaction deviated in the advantageous direction in accordance with the sale or purchase of the VWAP in the market.

Further, for example, Patent Document 1 discloses a technique for evaluating each transaction in terms of the cost required for the transaction. In this technology, the total cost of trading execution costs and opportunity losses is calculated by the implementation shortfall method, and the difference between the VWAP price and the price at the time of trading decision is multiplied by the number of shares decided to buy and sell. Transactions are evaluated based on the difference between the total cost and the benchmark cost.
JP 2002-140523 A

  By the way, when trying to evaluate the skill of execution of trading, for example, it is difficult to execute in a market with high price movements, and it is easy in the relatively calm market. There is. Therefore, in order to accurately evaluate the trading skill of a trader, it is necessary to remove the influence of the trading situation of the entire market. However, in the method disclosed in Patent Document 1, the success / failure of the transaction itself is evaluated from the viewpoint of cost, and whether the success / failure is due to trader's trade execution skill or market fluctuations. Are not clearly separated.

  Furthermore, as a strategy for the trader to execute trading, there are a time strategy for trading at a certain point in time and a price strategy for trading at what point. However, in the method disclosed in Patent Document 1, they cannot be evaluated separately.

  The present invention has been made in view of the above-described problems, and an object of the present invention is to make it possible to evaluate the skill of execution of buying and selling of financial products in more detail and accurately.

  In order to achieve the above object, the present invention is a system for evaluating the execution of trading transactions of financial products in a financial market, and for each financial product in which trading is executed in the evaluation target transactions, An execution information acquisition means for acquiring an execution transaction amount and an execution volume for each predetermined time segment, a means for storing the execution transaction amount and an execution volume acquired by the execution information acquisition means in a first storage unit, and Market information acquisition means for acquiring a transaction amount and a volume for each predetermined time segment in the financial market for a financial product, and a transaction amount and a volume acquired by the market information acquisition means as a market transaction amount and a market volume, respectively. Means for storing in the storage unit, reference volume acquisition means for acquiring a reference volume for each time segment for each financial product, and the reference volume acquisition means Is stored in the third storage unit, means for storing the reference volume obtained by the third storage unit, the market transaction amount and market volume stored in the second storage unit for each financial product, and the third storage unit. Of the VWAP profit / loss, which is the difference between the market VWAP, which is a weighted average of the market transaction price based on the market volume, and the executive VWAP, which is the weighted average of the execution transaction price based on the execution volume, Market factor calculation means for calculating market factor profit or loss that is caused by profits and losses, execution amount and execution volume stored in the first storage unit for each financial product, and the second storage Based on the market transaction amount and market volume stored in the section and the reference volume stored in the third storage section, the VWAP profit / loss was caused by the transaction execution strategy And execution strategy factor calculating means for calculating an execution strategy factor income is beneficial, characterized in that it comprises an output means for outputting the calculated market factors results and execution strategy factors or loss.

  The financial products are those that are traded in a trading market, such as stocks, bonds, precious metals, commodity futures. The reference volume is a value that serves as a reference for the volume of the brand to be evaluated in the financial market, and is, for example, the average or median of the volume over the past month.

  According to this invention, out of the VWAP profit / loss, a market factor profit / loss, which is a profit / loss generated due to a change in the financial market, and an execution strategy factor profit / loss due to a trade execution strategy related to the trade execution are obtained. Can do. Thus, by separating the market profit / loss factor from the VWAP profit / loss and extracting the factor resulting from the trading strategy, the skill of the execution strategy related to the execution of trading can be evaluated in detail and accurately.

  In addition, the present invention is a system for evaluating execution of trading transactions of financial products in the financial market, wherein the execution strategy factor calculation means stores the respective financial products in the first storage unit. Based on the executed transaction amount and execution volume, and the reference volume stored in the third storage unit, out of the VWAP profit / loss, the profit / loss generated due to the selection of the time division for executing trading Timing factor calculation means for calculating a certain timing factor profit and loss, an execution transaction amount and an execution volume stored in the first storage unit, and a market transaction amount stored in the second storage unit for each of the financial products Based on the market volume and the reference volume stored in the third storage unit, the execution price factor profit or loss that is the profit or loss caused by the transaction price is calculated from the VWAP profit or loss. Characterized in that it comprises a row price factor calculating means.

  According to this invention, among the VWAP profit and loss, among the execution strategy factor profit and loss due to the execution strategy, the timing factor profit and loss due to the selection of the time segment for execution of trading and the transaction price It is possible to obtain profit and loss due to execution price, which is profit or loss. This makes it possible to evaluate the skill of the execution strategy related to trading execution from the time aspect of selecting the time division for executing the transaction and the aspect from the price of trading. In other words, it is possible to carry out a more detailed and accurate skill evaluation of trade execution.

  In addition, the present invention is a system for evaluating execution of trading transactions of financial products in a financial market, and for each financial product for which trading is executed in an evaluation target transaction, for each predetermined time segment in the evaluation target period. Execution information acquisition means for acquiring an execution transaction amount and execution volume, means for storing the execution transaction amount and execution volume acquired by the execution information acquisition means in a first storage unit, and each financial product in the financial market Market information acquisition means for acquiring a transaction amount and a volume for each predetermined time segment, and means for storing the transaction amount and the volume acquired by the market information acquisition means in the second storage unit as a market transaction amount and a market volume, respectively. And for each financial product, the execution transaction amount and execution volume stored in the first storage unit, and the market volume stored in the second storage unit, A timing factor calculating means for calculating a timing factor profit or loss that is a profit or loss caused by selection of a time segment for executing trading among the VWAP profit and loss, and for each of the financial products, the first storage unit Is the profit / loss generated from the transaction price among the VWAP profit / loss based on the execution transaction amount and execution volume stored in the second storage unit and the market transaction amount and market volume stored in the second storage unit. And an execution price factor calculation means for calculating execution price factor profit and loss.

  According to the present invention, it is possible to evaluate whether the execution of the trader is caused by the timing of which time period of the evaluation target period the sale is executed or the execution price.

=== System configuration ===
An execution evaluation system including an execution evaluation apparatus according to an embodiment of the present invention will be described. The execution evaluation device according to the present embodiment is a computer that evaluates the skill of execution of trading by a trading executor entrusted to buy and sell stock by an operator.

  FIG. 1 is a block diagram showing the configuration of the execution evaluation system. The execution evaluation system includes an execution evaluation apparatus 100, a market data providing apparatus 200, and an execution data providing apparatus 300. The execution evaluation apparatus 100, the market data providing apparatus 200, and the execution data providing apparatus 300 are connected to a network 400, and can communicate with each other via the network 400. The network 400 is, for example, the Internet or VAN.

The market data providing apparatus 200 is a computer operated by a company that handles securities market data such as a securities company, a market research company, and a securities trading market. The market data providing apparatus 200 provides performance data, forecast data, various indexes, and the like of transactions performed in the securities market to the execution evaluation apparatus 100 via the network 400.
The execution data providing device 300 is a computer operated by an enforcer such as a securities company that executes stock transactions. Execution performance data, such as trades performed by the executor, is provided to the execution evaluation device 100 via the network 400.
The execution evaluation device 100 acquires data of financial markets and executives via the network 400, or via a medium such as a CD-ROM, and performs various types of information processing.
The execution evaluation apparatus 100 is a computer installed on a client side such as an institutional investor who requests execution of stock trading from a trader such as a securities company. The execution evaluation apparatus 100 acquires financial market information from the market data providing apparatus 200, acquires information related to execution of stock trading from the execution data providing apparatus 300, displays data indicating the market situation, and is described later. Various information processing functions are provided, such as evaluation of execution.

=== Execution evaluation device ===
FIG. 2 is a block diagram showing a configuration of the execution evaluation apparatus 100. As shown in FIG. As illustrated in FIG. 2, the execution evaluation apparatus 100 is an information processing apparatus including a CPU 1001, a memory 1002, a storage device 1003, an input device 1004, an output device 1005, and a network interface 1006.

The storage device 1003 is a device such as a hard disk, and stores programs and data. The stored program is read into the memory 1002 and executed by the CPU 1001 to realize each function described below.
As the input device 1004, various devices such as a keyboard, a mouse, a pen input device, and a barcode scanner can be used. The output device 1005 is a display, a printer, or the like.
The network interface 1006 is a device for communicating with an external device. For example, the network interface 1006 provides a communication function when the execution evaluation device 100 performs communication with the market data providing device 200 and the execution data providing device 300.

=== Function block ===
FIG. 3 is a functional block diagram of the execution evaluation device 100. As shown in FIG. 3, the execution evaluation device 100 includes a market data acquisition unit 101, an execution data acquisition unit 102, a reference data acquisition unit 103, a market data DB 104, an execution data DB 105, a reference data DB 106, a VWAP profit / loss factor analysis unit 107, And a data output means 108. The VWAP profit / loss factor analysis means 107 includes a market factor evaluation means 109 and an execution strategy factor evaluation means 110, and the execution strategy factor evaluation means 110 further includes a timing factor evaluation means 111 and an execution price factor evaluation means 112. .

  The market data acquisition unit 101 acquires market data representing the transaction performance of the entire stock market from the market data providing apparatus 200. The market data includes the volume of transactions and the amount of money sold for each fixed time segment such as every 15 minutes. The market data acquisition unit 101 stores the acquired market data in the market data DB 104.

  The execution data acquisition means 102 acquires execution data representing the results of transactions executed by a trader such as a securities company. The execution data includes the volume (execution volume) of the transaction executed by the trader and the amount of money (execution price) executed by the trader at regular time intervals such as every 15 minutes. The execution data acquisition unit 102 acquires the execution data by communicating with the execution data providing device 300 and stores the execution data in the execution data DB 105.

  The reference data acquisition means 103 acquires a reference volume that represents a volume that is a reference for the transaction in the stock market. The reference volume can be, for example, the average of the volumes traded in a predetermined reference tabulation period of the past month. In addition, there are market conditions that deviate significantly from the average, such as transactions on the date of calculation of SQ (Special Quotation Index), large payment events, and half-field transactions of large events, so the standard volume is not the average value as described above, but the medium A number (median) may be adopted. The unit for summing up the reference trading volume is, for example, the time division unit of every 15 minutes as described above. For such aggregation, the market data providing apparatus 200 may perform aggregation and the reference data acquisition unit 103 may receive the result, or the data acquired by the market data acquisition unit 101 in the past may be acquired as reference data. The means 103 may add up the data.

  In addition, the above-described acquisition of data by the market data acquisition unit 101, the execution data acquisition unit 102, and the reference data acquisition unit 103 is not limited to the acquisition by communication. The apparatus 100 may read the data. Moreover, it is good also as a form which acquires the data which the operator input from input devices 1004 grade | etc., Such as a keyboard.

=== Details of processing ===
The VWAP profit / loss factor analysis means 107 evaluates the execution of trading performed by the trader based on the acquired data. The evaluation of trade execution is performed on the profit or loss resulting from the execution of trade. In the present embodiment, the success or failure of the transaction is evaluated based on the VWAP profit / loss which is the difference between the VWAP (market VWAP) for the transaction in the market and the VWAP (execution VWAP) for the transaction executed by the trader. For example, if the profit / loss calculated by the difference between the market VWAP and the execution VWAP is positive, that is, a profit is being produced, it can be said that the execution ability of the trader who executed the execution is highly evaluated.

Here, the volume of each issue varies depending on the issue and the market, and the transaction volume varies depending on the trader. Therefore, for example, the ratio of the executed volume to the total volume for a predetermined evaluation period of about one day (hereinafter, This will be referred to as the volume ratio) so that various brands, markets, and traders can be compared and evaluated. For example, X is the total volume of transactions for a brand in a month, and 15 minutes is the time from 9: 00 to 11: 00, 12: 30 to 15: 00 Each time segment is divided into 18 time segments, where the i-th time segment is T _i , and the total volume for one month in the time segment T _i is X _i , the above-mentioned base volume ratio (reference volume ratio) is X _i / X. Similarly, the volume of trading volume traded in the market in time segment T _i , where W is the total daily trading volume traded in the market and W _i is the trading volume in the market during time segment T _i . The ratio (market volume ratio) is W _i / W.

  The processing performed in the VWAP profit / loss factor analysis means 107 will be described below. Here, it is assumed that the transaction to be executed is a selling transaction.

The buying and selling amount of money that time segments T _i to the executive who has executed the brand that is to be evaluated and P ^* _i, and the sum of the volume that was execution and V, VWAP (executive VWAP) for the buying and selling who executed the following formula It is expressed as (1).

If the total amount of money traded in the financial market in a time period T _i for a given period is P _i and the total daily volume in the market of the brand being evaluated is W, the VWAP (market VWAP) is expressed as the following equation (2).

  By subtracting the market VWAP represented by the formula (2) from the execution VWAP represented by the formula (1), the VWAP profit / loss when the brand is sold is obtained. Similarly, by subtracting the market VWAP represented by the formula (1) from the execution VWAP represented by the formula (2), the VWAP profit / loss in the case of purchasing the brand is obtained. The VWAP gain or loss at the time of sale represents a profit when the VWAP for the executed transaction is higher than the VWAP for the entire transaction in the market, and represents a loss when the VWAP is low. The opposite is true for VWAP gains and losses at the time of purchase, and represents profit if VWAP for executed transactions is lower than VWAP for all transactions in the market.

However, this VWAP profit / loss is an indicator that is a mixture of profit / loss due to market fluctuations and profit / loss due to the skillfulness of trader execution strategies. Therefore, in order to evaluate the execution strategy of the trader more accurately, it is necessary to extract only the profit / loss due to the skill of the execution strategy of the trader from the VWAP profit / loss. Therefore, the market factor evaluation means 109 obtains a market factor representing the profit / loss due to the fluctuation of the financial market, and extracts the execution strategy factor indicating the profit / loss by the execution strategy of the trader by separating it from the VWAP profit / loss. Here, the market factor is profit / loss resulting from the deviation of the market volume ratio in the evaluation target period from the volume ratio that is the basis of the transaction. Therefore, the market factor A in the VWAP profit / loss in the selling transaction is “(reference volume ratio−market volume ratio) × time segmented market VWAP”, which is obtained by the following equation (3). When the transaction is a buy transaction, the market factor A is “(market volume ratio−reference volume ratio) × time segment market VWAP”, and is obtained by the following equation (4).

The execution strategy factor evaluation unit 110 subtracts the market factor from the VWAP profit / loss and separates the execution strategy factor indicating the skill of the trader's execution strategy. In this way, it is possible to isolate the impact of market fluctuations and evaluate the skill of the trader's execution strategy in more detail and accuracy.
Furthermore, the execution strategy factor evaluation unit 110 includes a timing factor evaluation unit 111 that evaluates a timing factor that varies depending on in which time section of the evaluation period the trader executes trading, and depending on how much the trader executes trading. An execution price factor evaluation unit 112 that evaluates a changing execution price factor is included, and the execution strategy factor can be separated into a timing factor and an execution price factor.

As described above, since the timing factor is a profit or loss that varies depending on when the trading is performed, the timing factor can be obtained by the timing factor evaluation unit 111 based on the difference between the execution volume ratio and the reference volume ratio. That is, the timing factor B in the selling transaction is “(execution volume ratio−reference volume ratio) × time segment execution VWAP”, and the timing factor evaluation unit 111 calculates the timing factor according to the following equation (5). In addition, when the transaction is a buy transaction, the timing factor evaluation unit 111 has a timing factor B of “(reference volume ratio−execution volume ratio) × time division execution VWAP”, which can be calculated by the following equation (6). it can.

  For example, if trading can be executed by allocating the number of shares to be executed by the trader to exactly the same ratio as the reference volume ratio, the timing factor is zero (0). If the trade volume executed by the trader is greater or less than the reference volume, the timing factor is the profit or loss due to the divergence.

  Since the execution volume ratio is the ratio of the volume in each time segment of the evaluation period described above, if the execution volume ratio exceeds the standard volume ratio in a certain time segment, the execution volume ratio in other time segments is the standard volume ratio. Below. Therefore, in selling transactions, if the selling transaction is such that the execution volume ratio exceeds the reference volume ratio when the price in a certain time segment (time segment execution VWAP) is higher, a larger positive value (profit) On the contrary, when the time division execution VWAP is cheaper, a smaller negative value (loss) is required if the selling transaction is performed so that the execution volume ratio is lower than the reference volume ratio. The opposite is true for buying transactions. The sum of profit and loss is a timing factor, and it can be determined that the more positive the timing factor, the higher the evaluation regarding the execution timing of the trader.

On the other hand, since the execution price factor in the execution strategy factor is a profit or loss that varies depending on how much it is executed as described above, the execution price factor evaluation means 112 and the VWAP value traded in the market It can be determined by the difference between That is, when the transaction is a sell transaction, the execution price factor C is “standard volume ratio × (time division execution VWAP−time division market VWAP)”, and the execution price factor evaluation means 112 calculates the following equation (7): Therefore, the execution price factor is calculated. When the transaction is a buy transaction, the execution price factor C is “reference volume ratio × (time division market VWAP−time division execution VWAP)”, and is calculated according to the following equation (8).

The execution price factor above represents the profit or loss resulting from the difference between the executed price and the average price in the market when executed according to the base volume ratio.
In this way, by further dividing the impact of the trader's execution strategy on profit and loss, and grasping the profit and loss by the factor due to the timing of trading execution and the factor due to the price of trading execution, the trader's execution skill can be more precisely and accurately It becomes possible to evaluate.

また、取引が買い取引である場合には、ＶＷＡＰ損益は式（１０）に示すようになる。

As shown in the equation (9), when the market factor A, the timing factor B, and the execution price factor C described above are added, they match the VWAP profit / loss.

In addition, when the transaction is a buy transaction, the VWAP profit / loss is as shown in Expression (10).

  As described above, in the present embodiment, as shown in the equations (9) and (10), the VWAP profit / loss is decomposed into the three factors of the market factor A, the timing factor B, and the execution price factor C. The skill of execution can be judged by the factor and the execution price factor.

=== Output example ===
The VWAP profit / loss obtained as described above, the market factor A, the timing factor B, and the execution price factor C are output by the data output means 108 provided in the execution evaluation device 100. The data output means 108 may output to an output device 1005 included in the execution evaluation device 100, such as displaying on a display or printing with a printer, or an external information processing device via the communication interface 1006 You may send data to. Further, the data may be stored as a database in data of the memory 1002 included in the execution evaluation device 100, a file of the storage device 1003, or the like.

  FIG. 4 is an example of a screen displaying a list of profits and losses when the trader buys and sells various stocks in the stock market and the factors. In this example, a table 510 displayed in the list window 500 shows profits and losses of buying and selling for five kinds of brands executed by a certain securities company in a certain day trading in the securities trading market. The code column 511 displays a code assigned to the brand, and the trading flag column 512 indicates whether the transaction was a sale or a purchase. Since the sign is reversed in the profit and loss calculation between the sell transaction and the buy transaction, the program or the like that operates in the execution evaluation apparatus 100 refers to the trade flag column 512 to determine whether the profit or loss is positive or negative. The VWAP profit / loss column 513 displays the VWAP profit / loss described above. Here, the VWAP profit / loss is expressed as a ratio to VWAP, and the unit is a basis point (bp) which is 1/100 of a percentage. The market factor column 514 displays a market factor extracted from the VWAP profit / loss. The execution strategy factor column 515 displays the execution strategy factor extracted from the VWAP profit / loss. Further, the timing factor column 516 and the execution price factor column 517 display the timing factor and the execution price factor extracted from the execution strategy factor, respectively.

Table 520 displays the VWAP profit / loss calculated for each brand displayed in Table 510 and the average of the factors.
The operator can display detailed data on the brand by selecting any brand in the table 510. The brand is selected by, for example, the operator selecting the code field 511 using the mouse which is the input device 1004 included in the execution evaluation device 100, or inputting the code with the keyboard.
When any brand is selected in the table 510, the execution evaluation apparatus 100 displays the result calculated for each time segment when displaying the VWAP profit / loss and the factor in the evaluation target period for each brand as described above. The

  FIG. 5 is an example of a screen that displays the VWAP profit / loss for each time segment and its factors, which are displayed when the brand with the code “6758” is selected in the table 510. Window 600 includes a graph 640, a graph 650, a table 610, a table 620, and a table 630.

  In the table 610, the above-mentioned reference volume ratio, market volume ratio, and execution volume ratio are displayed for each time segment of 15 minutes for the brand of the code “6758”. Table 620 displays the VWAP profit / loss and the result of dividing the VWAP profit / loss into various factors for each time segment. The table 630 displays the line of the code “6758” in the table 520, and is the total value of each factor displayed in the table 620.

  In the graph 640, the market factor and the execution strategy factor described above are displayed for each time segment. The graph 650 displays the timing factor and the execution price factor obtained by dividing the execution strategy factor for each time segment.

=== Comparison of factors by time segment ===
As described above, it is possible to evaluate in detail the profits and losses of executed transactions in a predetermined evaluation target period, that is, the execution strategy of the trader.

  On the other hand, there are times when it is desired to evaluate the execution strategy of a trader for each time segment as well as the evaluation of the execution strategy of the trader in the evaluation target period. For example, it is a case where evaluation is performed while comparing the sale executed at 9:30 with the sale executed at 13:00. In such a case, the profit and loss for each time segment by the market factor evaluation unit 109 and the timing factor evaluation unit 111 of the execution evaluation device 100 cannot be used as they are. For example, in the case of a sell transaction, the timing factor is an index that gives an evaluation by performing a transaction with a large volume when the time division execution VWAP is high, but a transaction was performed with a small volume when the time division execution VWAP is low. It is an index that should be highly evaluated in some cases. However, when focusing on the timing factor for each time segment in the definition of the above formula (4), the value of the timing factor decreases as the volume decreases, regardless of whether the time segment execution VWAP is small or large. It becomes low evaluation.

Therefore, in this embodiment, the timing factor for each time segment can be compared with each other by obtaining the timing factor using the deviation from the market VWAP of the time segment executing VWAP instead of the time segment executing VWAP. Yes. That is, the timing factors evaluation unit 111, when the transaction is selling transactions, by equation (11) below, obtains the relative timing factors relative to the market VWAP in time segments T _i (relative timing factor) .

Similarly, when the transaction is a sell transaction, the market factor evaluation unit 109 calculates a relative market factor (relative market factor) based on the market VWAP in the time segment T _i by the following equation (12). Ask.

In this way, the VWAP profit / loss factor analyzing means 107 can obtain the VWAP profit / loss of the selling transaction by the following equation (13).

  Then, by comparing the timing factors for each time segment, it becomes possible to perform a more detailed evaluation such as at which timing execution was effective.

When the transaction is a buy transaction, the relative timing factor is obtained by the following equation (14), and the relative market factor is obtained by the following equation (15).

Therefore, when the transaction is a buy transaction, the VWAP profit / loss can be obtained by the following equation (16).

=== Separation of factors by prediction ===
Next, for example, in the case where the trading volume in the market is forecasted with the aim of improving the VWAP profit and loss when executing the trading of the stock in the VWAP trading, the timing factor evaluation means 111 uses the predicted trading volume as the reference. It is possible to further divide into profit and loss due to divergence from trading volume and profit and loss from execution strategy.

この式（１７）は、執行された出来高の比率が予測出来高比率から乖離したことによる損益への影響を表している。

この式（１８）は、予測出来高比率が基準出来高比率から乖離したことによる損益への影響を表している。 That is, assuming that the predicted volume in the time segment T _i is F _i , and F is the predicted volume that is the total volume of F _i in the evaluation target period, or Fi / F is the predicted volume ratio, the timing factor in the selling transaction is Expression (5) can be separated into Expression (17) and Expression (18).

This equation (17) represents the effect on profit and loss due to the deviation of the executed volume ratio from the predicted volume ratio.

This equation (18) represents the effect on profit and loss due to the deviation of the predicted volume ratio from the reference volume ratio.

  The timing factor in the selling transaction is the sum of the effects of profit and loss shown in the above formulas (17) and (18).

When the transaction is a buy transaction, the timing factors can be separated by the following equations (19) and (20) in the same manner as described above.

  In this way, by separating the profit / loss resulting from the deviation of the volume of execution of the timing factor from the forecasted volume and the profit / loss resulting from the deviation of the forecast from the reference volume, It is possible to evaluate it separately from the skill of forecasting and the ability to execute trading based on the predicted volume. That is, it is possible to evaluate the trade execution by the trader in more detail.

=== Separation of trading unit factors ===
Further, the timing factor evaluation means 111 needs to collect timing factors when the number of shares ordered in the time division T _i becomes zero, for example, because the planned number of ordered shares is less than the minimum trading unit, It is also possible to separate the factors resulting from the difference in trading units between the planned number of shares executed and the number of shares actually executed according to the trading unit.

Let E _i be the number of shares scheduled to be traded in the time division T _i , and let E be the total of E _{i for} a given period. The profit or loss in the selling transaction due to the deviation of the number of shares scheduled to be executed from the execution volume is obtained by the following equation (21).

And the profit and loss in the selling transaction due to the divergence between the number of shares scheduled to be executed and the reference volume is obtained by the equation (22).

When the transaction is a buy transaction, the timing factors can be separated in the same manner as described above by the following equations (23) and (24).

  In this way, the timing factor is divided into profit / loss due to the fact that trading was scheduled to be executed but could not be traded and profit / loss when the trading execution schedule was all executed, and the number of shares scheduled to be executed and execution By separating profits and losses resulting from deviations from the number of possible shares, it is possible to more accurately determine the skill of the trader's execution strategy.

=== Separation of the impact of execution on the market ===
When the number of shares executed by a trader accounts for a large part of the market volume, the effect of the execution on the market is significant. Therefore, the market factor evaluation means 109 can remove the influence on the market by the transaction execution from the market factor by calculating the market factor using the value obtained by subtracting the execution volume as the market volume. Market factors in selling transactions excluding the influence of execution volume are expressed by the following equation (25). When the transaction is a buy transaction, the market factor is expressed by the following equation (26).

  In this way, by calculating the market volume ratio based on the market volume excluding the execution volume, it is possible to remove the influence part due to the execution of the trader from the market factors.

On the other hand, the execution strategy factor evaluation means 110 incorporates the difference between the original market volume ratio and the market volume ratio excluding the execution volume into the execution strategy factor. Here, the difference between the original market volume ratio and the market volume ratio excluding the execution volume is expressed by the following formula (27) in the case of a sell transaction, and the following formula (28) in the case where the transaction is a buy transaction. Is required.

Therefore, the timing factor evaluation means 111 calculates | requires a timing factor according to Formula (29) in the case of a sell transaction, and according to Formula (30) when a transaction is a buying transaction.

Here, the timing factor of the sale transaction obtained according to the equation (29) can be separated into the profit and loss due to the execution shown in the equation (31) and the influence of the execution shown in the equation (32) on the market. When the transaction is a buy transaction, the timing factors can be separated as shown in the following equations (33) and (34).

Furthermore, the execution price factor evaluation means 112 reflects the difference between the original market volume ratio shown in Equation (27) and the market volume ratio excluding the execution volume, with respect to the execution price factor in the selling transaction. Can be obtained as shown in Equation (35). If the transaction is a buy transaction, equation (36) is obtained.

In addition, with regard to the execution price factor in the selling transaction required here, it is possible to separate the profit and loss due to execution shown in Expression (37) and the influence of the execution shown in Expression (38) on the market. When the transaction is a buy transaction, the equations (39) and (40) are obtained.

  In this way, by taking into account the effects of trade execution, it becomes possible to grasp more accurately the factors of profit and loss.

=== Example output including the impact of execution on the market ===
FIG. 6 is an example of a screen displaying a list of profits and losses when the trader trades various brands in the stock market and the factors separating the effects of trade execution on the market as described above. Except for the part where the influence of trade execution by the trader on the market is separated, it is the same as Table 510 and Table 520 displayed in FIG.

  In table 510a, in addition to the items in table 510, there are a market impact 5162 which is a profit / loss due to the effect of execution on the market among timing factors, and a profit / loss by execution obtained by subtracting the market impact 5162 from the timing factor. A certain execution portion 5161, similarly, an execution portion 5171 and a market influence portion 5172 regarding the execution price factor are displayed. Also, the execution amount 5151 of the execution strategy factor as the sum of the execution amount 5161 of the timing factor and the execution amount 5171 of the execution price factor, and the sum of the market influence portion 5162 of the timing factor and the market influence portion 5172 of the execution price factor The market impact portion 5152 of the execution strategy factor is displayed.

  Similarly to the table 520, the table 520a also displays the result of averaging the items in the table 510a.

  FIGS. 7 and 8 are screen examples that display the VWAP profit / loss for each time segment and the factors displayed when the code “6758” in Table 510a is selected. As in FIG. 5, the list window 600a displays the table 610a, the table 620a, the graph 640, the graph 660, and the graph 670, and divides the VWAP profit / loss and the VWAP profit / loss for each time category related to the code “6758”. Market factors and execution strategy factors (timing factors and execution price factors) are displayed by time category. However, the illustration of Table 610 is omitted in FIG.

  In the table 610a shown in FIG. 7, in addition to the items in the table 610 of FIG. 5, the execution part and the market influence part are displayed for the above-described timing factor and execution price factor for each time segment. Similarly, in Table 620a, the execution portion and the market influence portion are displayed.

  In the graph 640 shown in FIG. 8, the above-described VWAP profit / loss is divided into a market factor and an execution strategy factor, and the profit / loss is displayed for each time segment. The execution strategy factor is divided into the timing factor and the execution price factor, and the timing factor is further divided into the execution portion and the market influence portion as described above. The result of the division into the market influence is shown at 670. Although not shown, a graph 650 may be displayed as in FIG. Alternatively, only the graph may be displayed, and the table 610a and the table 620a may not be displayed.

=== Another Embodiment ===
As described above, the VWAP profit / loss is analyzed by the VWAP profit / loss factor analysis means 107 into a market factor caused by market fluctuations and an execution strategy factor caused by the skillful execution of the trader. It is broken down into timing factors resulting from which time divisions of execution were performed and execution price factors resulting from how much the trader was executed.

On the other hand, without separating the market factor from the VWAP profit / loss, the evaluation of the trader for the VWAP profit / loss can be performed using the timing factor and the execution price factor. At this time, the execution strategy factor evaluation means 110 executes the VWAP profit / loss in the selling transaction as a timing factor using the following formula (41) using the execution volume, the execution amount, the market volume, and the transaction amount in the market. Can be broken down into price factors. When the transaction is a buy transaction, the execution strategy factor evaluation unit 110 can decompose the VWAP profit / loss by the equation (42).

  In this way, ignoring the impact of market fluctuations, the trader's execution is simply due to the timing of the trading period in which the trade is executed or whether it is due to the executed price. It is possible to evaluate whether or not. In addition, for example, the trader can also determine whether the contribution to the VWAP profit / loss is due to the timing of execution or the price of execution, and can be used as a reference for future execution strategies.

Also here, in the same manner as the relative timing factor, the timing factor evaluation unit 111 can obtain the relative timing factor in order to perform the evaluation for each time segment. The relative timing factor of the selling transaction here is obtained by the following equation (43) (when the transaction is a buying transaction, the equation (41)).

The execution strategy factor evaluation means 110 can obtain the VWAP profit / loss of the selling transaction according to the following equation (45), and when the transaction is a buying transaction, according to the equation (46).

=== Other Embodiments ===
In the above description, the case of stock transactions has been described. However, in addition to stocks, the execution of trading can be evaluated using a similar method for financial products such as bonds, precious metals, and commodity futures.

Moreover, in the said embodiment, although the value of each factor shall be calculated according to (3)-(46) formula, this invention is not restricted to the case where each factor is calculated directly by said each formula, In said each formula, This includes cases where each factor is calculated based on this. For example, it is also included in the scope of the present invention to use a value obtained by dividing the above equations by the market VWAP (= P / W) as the value of each factor. In this case, for example, the VWAP profit / loss in the case of a selling transaction is decomposed into each factor as in the following equation (47) instead of the above equation (9). Thus, VWAP profit / loss factor, market factor, timing factor, execution required by VWAP profit / loss factor analysis unit 107, market factor evaluation unit 109, execution strategy factor evaluation unit 110, timing factor evaluation unit 111, and execution price factor evaluation unit 112. Price factor, relative timing factor, relative market factor, impact on profit / loss due to deviation of the ratio of executed volume from forecast volume ratio, impact on profit / loss due to deviation of forecast volume ratio from standard volume ratio, execution of trading Divided by the market VWAP each factor of profit / loss due to divergence between the planned number of shares and execution volume, profit / loss due to divergence between the number of shares planned to be traded and reference volume, profit / loss due to execution, and the impact of execution on the market. It can also be calculated as a value.

Further, in this embodiment, time segments T _i indicating a fixed time segment, for example, was assumed to be equally spaced sections of such every 15 minutes, the present invention is not limited thereto, optionally specify each time segment It is also possible to use a time segment with a length that is different for each time segment.

  Although the present embodiment has been described above, the above examples are for facilitating the understanding of the present invention, and are not intended to limit the present invention. The present invention can be changed and improved without departing from the gist thereof, and the present invention includes equivalents thereof.

It is a block diagram which shows the structure of the execution evaluation system by one Embodiment of this invention. It is a block diagram which shows the structure of the execution evaluation apparatus by one Embodiment of this invention. It is a functional block diagram of the execution evaluation apparatus by one Embodiment of this invention. It is an example of the screen which displayed the profit and loss when a trader trades various brands in a stock market, and its factor according to one embodiment of the present invention. It is an example of a screen which displays VWAP profit and loss for every time division, and its factor by one embodiment of the present invention. It is the example of a screen which displayed the thing which separated the profit and loss when a trader trades various brands in a stock market, and the influence which trade execution has on a market about the factor by one embodiment of the present invention. It is an example of a screen which displays VWAP profit and loss for every time division, and its factor by one embodiment of the present invention. It is an example of the screen which displays the VWAP profit and loss for every time division, and its factor by a graph by one Embodiment of this invention.

Explanation of symbols

100 execution evaluation apparatus 101 market data acquisition means 102 execution data acquisition means 103 reference data acquisition means 104 market data DB
105 Execution Data DB
106 Reference data DB
107 VWAP profit / loss factor analysis means 108 data output means 109 market factor evaluation means 110 execution strategy factor evaluation means 111 timing factor evaluation means 112 execution price factor evaluation means 200 market data providing apparatus 300 execution data providing apparatus 400 network 500 list window 600 details window

Claims (14)

A system for evaluating the execution of trading transactions of financial products in a financial market,
Execution information acquisition means for acquiring the execution transaction amount and execution volume for each predetermined time segment in the evaluation target period for each financial product for which trading was executed in the evaluation target transaction;
Means for storing the execution transaction amount and execution volume acquired by the execution information acquisition means in the first storage unit;
Market information acquisition means for acquiring a transaction amount and a volume for each predetermined time segment in the financial market for each financial product;
Means for storing the transaction amount and the trading volume acquired by the market information acquisition unit in the second storage unit as a market trading volume and a market trading volume, respectively;
Reference volume acquisition means for acquiring a reference volume for each time segment for each financial product;
Means for storing the reference volume acquired by the reference volume acquisition means in a third storage unit;
For each financial product, based on the market transaction amount and market volume stored in the second storage unit and the reference transaction volume stored in the third storage unit, the market transaction price is a weighted average with the market volume. Factor that calculates the market factor profit or loss, which is the profit or loss arising from the fluctuation of the financial market, among the VWAP profit or loss that is the difference between the market VWAP and the execution VWAP that is the weighted average of the execution transaction price by the execution volume Calculation means;
For each financial product, the execution transaction amount and execution volume stored in the first storage unit, the market transaction amount and market volume stored in the second storage unit, and the third storage unit An execution strategy factor calculation means for calculating an execution strategy factor profit or loss which is a profit or loss caused by a transaction execution strategy out of the VWAP profit or loss based on the calculated reference volume;
An output means for outputting the calculated market factor profit and loss and execution strategy factor profit and loss. A system for evaluating the execution of trading transactions of financial products in the financial market according to claim 1,
The execution strategy factor calculation means is:
For each of the financial products, on the basis of the execution transaction amount and execution volume stored in the first storage unit and the reference volume stored in the third storage unit, execution of buying and selling of the VWAP profit / loss is executed. Timing factor calculation means for calculating a timing factor profit or loss that is a profit or loss caused by the selection of the time segment;
For each financial product, the execution transaction amount and execution volume stored in the first storage unit, the market transaction amount and market volume stored in the second storage unit, and stored in the third storage unit An execution price factor calculation means for calculating an execution price factor profit or loss that is a profit or loss caused by a transaction price out of the VWAP profit or loss based on the calculated reference volume;
A system characterized by including. A system for evaluating execution of a financial product trading transaction in a financial market according to claim 2,
The timing factor calculation means includes:
The execution volume in a predetermined time segment is V _i , and the execution volume in the predetermined evaluation target period is V,
X _{i is} the reference volume in the predetermined time segment, and X is the reference volume in the predetermined evaluation period.
P ^* _i , the amount of the execution transaction in the predetermined time segment,
As
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculating the timing factor gain or loss based on:
A system characterized by A system for evaluating execution of a financial product trading transaction in a financial market according to claim 2 or 3,
The execution price factor calculation means is:
V _{i for} the execution volume in a predetermined time segment,
W _i , the volume of the market in the given time segment,
X _{i is} the reference volume in the predetermined time segment, and X is the reference volume in the predetermined evaluation period.
P ^* _i is the execution trading amount in the predetermined time segment, P _i is the trading amount in the market in the predetermined time segment,
As
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculating the execution price factor profit or loss based on
A system characterized by A system for evaluating execution of trading transactions of financial products in the financial market according to claim 1,
The market factor calculation means is:
Volume W _i traded in the financial market in the predetermined time segment, Volume W traded in the financial market in the evaluation period,
X _{i is} the reference volume in the predetermined time segment, X is the reference volume in the predetermined evaluation target period,
The trading amount P _i traded in the financial market in the predetermined time segment,
As
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculating the market factor gains and losses based on
A system characterized by A system for evaluating execution of trading transactions of financial products in the financial market according to claim 1,
The market factor calculation means is:
Volume W _i traded in the financial market in the predetermined time segment, Volume W traded in the financial market in the evaluation period,
X _{i is} the reference volume in the predetermined time segment, X is the reference volume in the predetermined evaluation target period,
The trading amount P _i traded in the financial market in the predetermined time segment, the trading amount P traded in the financial market in the evaluation target period,
As
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculating market factor gains and losses based on
A system characterized by A system for evaluating execution of a financial product trading transaction in a financial market according to claim 2,
The timing factor calculation means includes:
The execution volume in a predetermined time segment is V _i , and the execution volume in the predetermined evaluation target period is V,
Volume W traded in the financial market during the evaluation period,
X _{i is} the reference volume in the predetermined time segment, and X is the reference volume in the predetermined evaluation period.
The above-mentioned execution trading amount is P ^* _i ,
Trading amount P traded in the financial market during the evaluation period,
As
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculating timing factor gains and losses based on
A system characterized by A system for evaluating execution of a financial product trading transaction in a financial market according to claim 2,
The timing factor calculation means includes:
The execution volume in a predetermined time segment is V _i , and the execution volume in the predetermined evaluation target period is V,
X _{i is} the reference volume in the predetermined time segment, and X is the reference volume in the predetermined evaluation period.
F _{i is} a predicted volume that is a forecast of trading volume in the market in the predetermined time segment, F is a predicted volume in the predetermined evaluation period,
The above-mentioned execution trading amount is P ^* _i ,
As
If the trading is a selling transaction,

If the buy / sell transaction is a buy transaction,

To calculate the forecasted profit and loss factor based on
If the trading is a selling transaction,

If the buy / sell transaction is a buy transaction,

Calculating the profit or loss due to the divergence of the execution volume with respect to the forecasted volume based on
A system characterized by A system for evaluating execution of a financial product trading transaction in a financial market according to claim 2,
The timing factor calculation means includes:
The execution volume in a predetermined time segment is V _i , and the execution volume in the predetermined evaluation target period is V,
X _{i is} the reference volume in the predetermined time segment, and X is the reference volume in the predetermined evaluation period.
E _i is the volume scheduled for execution in the predetermined time segment, E is the volume scheduled for execution in the predetermined evaluation period, E
The above-mentioned execution trading amount is P ^* _i ,
As
If the trading is a selling transaction,

If the buy / sell transaction is a buy transaction,

Calculate the profit or loss due to the difference between the planned volume executed and the volume executed based on
If the trading is a selling transaction,

If the buy / sell transaction is a buy transaction,

Calculate timing factor gains and losses based on the volume planned based on
A system characterized by A system for evaluating execution of a financial product trading transaction in a financial market according to claim 2,
The execution volume in a predetermined time segment is V _i , and the execution volume in the predetermined evaluation target period is V,
Volume W _i traded in the financial market in the predetermined time segment, Volume W traded in the financial market in the evaluation period,
X _{i is} the reference volume in the predetermined time segment, X is the reference volume in the predetermined evaluation target period,
P ^* _i , the amount of the execution transaction in the predetermined time segment,
The trading amount P _i traded in the financial market in the predetermined time segment, the trading amount P traded in the financial market in the evaluation target period,
As
The market factor calculation means is:
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

To calculate the market factor profit and loss based on
The timing factor calculation means includes:
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculate the timing factor profit or loss based on
The execution price factor calculation means is:
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculating the execution price factor profit or loss based on
A system characterized by A system for evaluating the execution of trading transactions of financial products in a financial market,
Execution information acquisition means for acquiring the execution transaction amount and execution volume for each predetermined time segment in the evaluation target period for each financial product for which trading was executed in the evaluation target transaction;
Means for storing the execution transaction amount and execution volume acquired by the execution information acquisition means in the first storage unit;
Market information acquisition means for acquiring a transaction amount and a volume for each predetermined time segment in the financial market for each financial product;
Means for storing the transaction amount and the trading volume acquired by the market information acquisition unit in the second storage unit as a market trading volume and a market trading volume, respectively;
For each of the financial products, based on the execution transaction amount and execution volume stored in the first storage unit, and the market volume stored in the second storage unit, execution of buying and selling out of the VWAP profit / loss Timing factor calculation means for calculating timing factor gains and losses that are gains and losses resulting from the selection of time segments to be performed,
For each financial product, based on the execution transaction amount and execution volume stored in the first storage unit, and the market transaction amount and market volume stored in the second storage unit, An execution price factor calculation means for calculating an execution price factor profit or loss that is a profit or loss caused by the transaction price;
A system comprising: A system for evaluating execution of a financial product sales transaction in a financial market according to claim 11,
The timing factor calculation means includes:
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculate the timing factor profit or loss based on
The execution price factor calculation means is:
If the transaction is a sale transaction,

If the transaction is a buy transaction, the formula

Calculating the execution price factor profit or loss based on
A system characterized by A method for assessing the execution of trading transactions for financial products in a financial market, comprising:
Computer
Obtaining an execution transaction amount and an execution volume for each predetermined time segment in the evaluation target period for each financial product executed in the evaluation target transaction;
Storing the acquired execution transaction amount and execution volume in the first storage unit;
Obtaining a transaction amount and a volume for each predetermined time segment in the financial market for each financial product;
Storing the acquired transaction amount and trading volume in the second storage unit as a market trading volume and market trading volume, respectively;
Obtaining a reference volume for each time segment for each financial product;
Storing the acquired reference volume in a third storage unit;
For each financial product, based on the market transaction amount and market volume stored in the second storage unit and the reference transaction volume stored in the third storage unit, the market transaction price is a weighted average with the market volume. Calculating a market factor gain or loss that is a gain or loss resulting from a change in the financial market, out of a VWAP gain or loss that is a difference between the executed market VWAP and an execution VWAP obtained by weighting and averaging the execution transaction price by the execution volume. ,
For each financial product, the execution transaction amount and execution volume stored in the first storage unit, the market transaction amount and market volume stored in the second storage unit, and the third storage unit Calculating an execution strategy factor profit or loss that is a profit or loss caused by a trade execution strategy out of the VWAP profit or loss based on the calculated reference volume;
Outputting the calculated market factor profit and loss and execution strategy factor profit and loss;
The method characterized by performing. A method for evaluating execution of a financial product trading transaction in a financial market according to claim 13, comprising:
Computer
For each of the financial products, on the basis of the execution transaction amount and execution volume stored in the first storage unit and the reference volume stored in the third storage unit, execution of buying and selling of the VWAP profit / loss is executed. Calculating a timing factor gain or loss that is a gain or loss resulting from the selection of the time segment to be
For each financial product, the execution transaction amount and execution volume stored in the first storage unit, the market transaction amount and market volume stored in the second storage unit, and stored in the third storage unit Calculating an execution price factor profit or loss that is a profit or loss caused by a transaction price out of the VWAP profit or loss based on the calculated base volume;
Outputting the calculated timing factor profit and loss and execution price factor profit and loss;
The method characterized by performing.

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