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A taxonomy of automated trade execution systems

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  • Domowitz, Ian

Abstract

A taxonomy of existing and planned automated trade execution systems in financial markets is provided. Over 50 automated market structures in 16 countries are analyzed. The classification scheme is organized around the principle that such markets consist of an algorithm that performs a trade matching function, together with information display and transmission mechanisms. Automated market structures are classified by ordered sets of trade execution priority rules, trade matching protocols and associated degree of automation of price discovery, and transparency, to include informational asymmetries between classes of market participants. Systematic differences in systems across types of financial instruments, geographical market centers, and over time are analyzed.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 12 (1993)
Issue (Month): 6 (December)
Pages: 607-631

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Handle: RePEc:eee:jimfin:v:12:y:1993:i:6:p:607-631

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Web page: http://www.elsevier.com/locate/inca/30443

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Cited by:
  1. Michael R. King & Carol Osler & Dagfinn Rime, 2013. "The market microstructure approach to foreign exchange - Looking back and looking forward," Working Paper, Norges Bank 2013/12, Norges Bank.
  2. Mirowski, Philip, 2007. "Markets come to bits: Evolution, computation and markomata in economic science," Journal of Economic Behavior & Organization, Elsevier, vol. 63(2), pages 209-242, June.
  3. Kempf, Alexander & Korn, Olaf, 1998. "Trading System and Market Integration," Journal of Financial Intermediation, Elsevier, vol. 7(3), pages 220-239, July.
  4. Ian Domowitz & Jack Glen & Ananth Madhavan, 2000. "Liquidity, Volatility, and Equity Trading Costs Across Countries and Over Time," William Davidson Institute Working Papers Series 322, William Davidson Institute at the University of Michigan.
  5. Coppejans, Mark & Domowitz, Ian, 1999. "Pricing behavior in an off-hours computerized market," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(5), pages 583-607, December.
  6. Burton Hollifield & Robert A. Miller & Patrik Sandas, 2004. "Empirical Analysis of Limit Order Markets," Review of Economic Studies, Wiley Blackwell, Wiley Blackwell, vol. 71(4), pages 1027-1063, October.
  7. Burton Hollifield & Robert A. Miller & patrik Sandas, . "An Empirical Analysis of Limit Order Markets," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 29-99, Wharton School Rodney L. White Center for Financial Research.
  8. Ian Domowitz, 1992. "Automating the Price Discovery Process," IMF Working Papers 92/80, International Monetary Fund.
  9. Charles Goodhart & Takatoshi Ito & Richard Payne, 1995. "One Day in June, 1994: A Study of the Working of Reuters 2000-2 Electronic Foreign Exchange Trading System," NBER Technical Working Papers 0179, National Bureau of Economic Research, Inc.
  10. Ingrid Lo & Stephen G. Sapp, 2007. "Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?," Working Papers 07-23, Bank of Canada.
  11. Cordella, Tito & Foucault, Thierry, 1997. "Minimum Price Variations, Time Priority and Quote Dynamics," CEPR Discussion Papers 1717, C.E.P.R. Discussion Papers.
  12. Domowitz, Ian, 1995. "Electronic derivatives exchanges: Implicit mergers, network externalities, and standardization," The Quarterly Review of Economics and Finance, Elsevier, Elsevier, vol. 35(2), pages 163-175.
  13. Ian Domowitz, 2002. "Liquidity, Transaction Costs, and Reintermediation in Electronic Markets," Journal of Financial Services Research, Springer, vol. 22(1), pages 141-157, August.
  14. Paula C. Albuquerque, 2003. "The Traditional Brokers: What are their Chances in the Forex?," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 205-220, November.
  15. Bollerslev, Tim & Domowitz, Ian & Wang, Jianxin, 1997. "Order flow and the bid-ask spread: An empirical probability model of screen-based trading," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1471-1491, June.

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