A Taxonomy of Automated Trade Execution Systems

Ian Domowitz

No 1992/076, IMF Working Papers from International Monetary Fund

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.

Keywords: WP; options exchange; price discovery; limit order; floor trading market; market efficiency; options system; market maker; trade price; Stocks; Options; Trade systems; Futures; Stock markets; Global (search for similar items in EconPapers)
Pages: 56
Date: 1992-09-01
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Citations: View citations in EconPapers (3)

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Journal Article: A taxonomy of automated trade execution systems (1993)
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