A Taxonomy of Automated Trade Execution Systems

September 1, 1992

Preview Citation

Format: Chicago

Ian Domowitz. A Taxonomy of Automated Trade Execution Systems, (USA: International Monetary Fund, 1992) accessed November 21, 2024

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those of the IMF or IMF policy. Working Papers describe research in progress by the author(s) and are published to elicit comments and to further debate

Summary

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.

Subject: Financial institutions, Financial markets, Futures, International trade, Options, Stock markets, Stocks, Trade systems

Keywords: Floor trading market, Futures, Global, Limit order, Market efficiency, Market maker, Options, Options exchange, Options system, Price discovery, Stock markets, Stocks, Trade price, Trade systems, WP

Publication Details

Pages:

56
Volume:

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DOI:

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Issue:

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Series:

Working Paper No. 1992/076
Stock No:

WPIEA0761992
ISBN:

9781451849783
ISSN:

1018-5941

Notes

Taxonomy of existing and planned automated trade execution systems in over 50 automated market structures in 16 countries.

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