Towards integrated parallel Markets - A Solution Approach to the Order Allocation Problem
نویسندگان
چکیده
Today’s financial electronic markets are a result of the remarkable development in information technology during the last years. With the growth of electronization in financial markets and the establishment of new electronic trading services the design of the market structure moved in the focus of interest. Design decisions determine the market microstructure, influencing trading patterns and investors strategies and therefore market outcome. This paper motivates the necessity of a new flexibility in market design to tackle economic problems like the fragmentation of markets and the resulting split up of liquidity. As a possible solution we propose the concept of cascading Dynamic Market Models (cDMMs), supporting multiple market models. To understand the implications of cDMMs, we analyze the vices and virtues of parallel market models.
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