A TAXONOMY OF AUTOMATED TRADE EXECUTION SYSTEMS

A taxonomy of automated trade execution systems in financial markets i s developed. Over 50 automated market structures in 16 countries are a nalyzed. These markets consist of computerized rules governing both al lowable message types and the means by which such messages are transla ted into trades. Computerized market structures are classified by orde red sets of trade execution priority rules, trade matching protocols a nd associated degree of automation of price discovery, and transparenc y, to include informational asymmetries between classes of market part icipants. Differences in systems across types of financial instruments , geographical locations, and over time are analyzed. (JEL GI5, D44).