A TAXONOMY OF AUTOMATED TRADE EXECUTION SYSTEMS

被引：22

作者：

DOMOWITZ, I

机构：

[1] Department of Economics, Northwestern University, Evanston

来源：

JOURNAL OF INTERNATIONAL MONEY AND FINANCE | 1993年 / 12卷 / 06期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0261-5606(93)90028-A

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

A taxonomy of automated trade execution systems in financial markets is developed. Over 50 automated market structures in 16 countries are analyzed. These markets consist of computerized rules governing both allowable message types and the means by which such messages are translated into trades. Computerized 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. Differences in systems across types of financial instruments, geographical locations, and over time are analyzed. (JEL GI5, D44).

引用

页码：607 / 631

页数：25