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Cover IMF Working Papers
Automating the Price Discovery Process: Some International Comparisons and Regulatory Implications
Mr. Ian Domowitz
Automated trade execution systems are examined with respect to the degree to which they automate the price discovery process. Seven levels of automation of price discovery are identified, and 47 systems are classified according to these criteria. Systems operating at various levels of automation are compared with respect to age, geographical location, and type of securities traded. Information provided to market participants, and asymmetries of information between traders with direct access to the automated market and outside investors also are examined. It is found, for example, that the degree of asymmetric information increases with the level of automation of price discovery. The potential for trading abuses related to prearranged trading, noncompetitive execution, and trading ahead of customers is analyzed for each level of automation. Certain levels of automation widen the opportunities for trading abuses in some respects, but may narrow them in others.
Keywords:
WP; price discovery process; market condition; options market; limit order; market efficiency; market liquidity; price discovery mechanism; telephone market; trading market mechanism; Automation; Options; Stocks; Futures; Trade systems; North America
Cover IMF Working Papers
Automating the Price Discovery Process
Some International Comparisons and Regulatory Implications
Mr. Ian Domowitz

another market The earliest systems perform trade matching based on time and order type priorities, with the transaction price determined from a floor or telephone market operating at the same time. There is no price discovery mechanism. Such systems typically provide automated execution for limited sizes of orders. For example, RAES operates in tandem with the options trading floor of the Chicago Board of Options Exchange. The crowd in the pit is trading continuously, and the best bid and offer outstanding on the floor at any given time are transmitted to RAES

Keywords:
WP; price discovery process; market condition; options market; limit order; market efficiency; market liquidity; price discovery mechanism; telephone market; trading market mechanism; market operation; transactions price; trading market operation
Cover IMF Working Papers
Front Matter
Mr. Ian Domowitz
Keywords:
WP; price discovery process; market condition; options market; limit order; market efficiency; market liquidity; price discovery mechanism; telephone market; trading market mechanism
Cover IMF Staff Country Reports
Denmark: Financial Sector Assessment Program: Detailed Assessment of the Securities Clearance and Settlement Systems
International Monetary Fund
This paper discusses key findings of the Detailed Assessment of the Securities Clearance and Settlement Systems for Denmark. The assessment recommends that securities settlement systems should have a well-founded, clear, and transparent legal basis in the relevant jurisdiction. Confirmation of trades between market participants should occur as soon as possible after trade execution, but no later than trade date (T+0). Where confirmation of trades by indirect market participants is required, it should occur as soon as possible after trade execution, preferably on T+0, but no later than T+1.
Keywords:
ISCR; CR; settlement cycle; bond issue; VP settlement account; cash settlement; clearing rule; securities lending; VP system; replacement cost; standing VP committee; comments VP; DVP procedure; VP participant; Securities; Securities settlement systems; Central securities depositories; Currencies; Collateral; Baltics
Cover IMF Working Papers
A Taxonomy of Automated Trade Execution Systems
Mr. Ian Domowitz
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
Cover IMF Staff Country Reports
Mauritius: Selected Issues and Statistical Appendix
International Monetary Fund
This Selected Issues paper and Statistical Appendix discusses initial performance and other issues relating to the implementation of the value-added tax in Mauritius in 1998. The paper highlights that as the Mauritius economy has continued to expand at a relati