market architecture of selected stock exchanges in ... - Gilles Daniel

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To my parents for their supportthroughout my studies
ITABLE OF CONTENTSList of Figures ........................................................................................................... IIIList of Tables ............................................................................................................IVList of Abbreviations ................................................................................................VI1 INTRODUCTION ......................................................................................................................11.1 MOTIVATION AND OBJECTIVE OF THE THESIS ..................................................................... 11.2 COURSE OF EXPLORATION................................................................................................... 52 PRELIMINARY CONSIDERATIONS....................................................................................62.1 THE STOCK EXCHANGE IN GENERAL................................................................................... 62.2 THE SELECTED STOCK EXCHANGES..................................................................................... 72.2.1 The Johannesburg Stock Exchange................................................................................ 72.2.2 The National Stock Exchange of India........................................................................... 92.2.3 The São Paulo Stock Exchange.................................................................................... 112.2.4 The Shanghai Stock Exchange ..................................................................................... 142.2.5 The Istanbul Stock Exchange ....................................................................................... 162.2.6 The Warsaw Stock Exchange ....................................................................................... 182.2.7 The Dubai International Financial Exchange.............................................................. 202.3 ORGANIZATIONAL STRUCTURE.......................................................................................... 212.4 MARKET STATISTICS ......................................................................................................... 212.5 EXCHANGE RATES............................................................................................................. 233 RULES AND MARKET MECHANISMS .............................................................................243.1 MARKET PARTICIPANTS .................................................................................................... 243.1.1 Customers .................................................................................................................... 243.1.2 Brokers......................................................................................................................... 243.1.3 Dealers......................................................................................................................... 253.1.4 Market Makers ............................................................................................................. 253.2 OPENING HOURS AND TRADING DAYS .............................................................................. 263.3 TYPES OF MARKET STRUCTURE......................................................................................... 263.3.1 Direct Search Markets ................................................................................................. 26
Page 1: MARKET ARCHITECTURE OF SELECTED STO
Page 5 and 6: IIIList of Figures 1Figure 1: Equit
Page 7 and 8: VTable 33: Criteria for Auction Ext
Page 9 and 10: 11 Introduction1.1 Motivation and O
Page 11 and 12: 3Figure 2: World Equity Market Capi
Page 13 and 14: 51.2 Course of ExplorationThis thes
Page 15 and 16: 72.2 The selected Stock ExchangesHa
Page 17 and 18: 92.2.2 The National Stock Exchange
Page 19 and 20: 112.2.3 The São Paulo Stock Exchan
Page 21 and 22: 13Table 3: São Paulo Stock Exchang
Page 23 and 24: 15Table 4: Shanghai Stock Exchange
Page 25 and 26: 17Table 5: Istanbul Stock Exchange
Page 27 and 28: 19Table 6: Warsaw Stock Exchange St
Page 29 and 30: 212.3 Organizational StructureTable
Page 31 and 32: 232.5 Exchange RatesFor the purpose
Page 33 and 34: 25compensation of this service, the
Page 35: 273.3.2 Brokered MarketsIn a broker
Page 38 and 39: 30price and quantity (Cohen and Sch
Page 40 and 41: 32However, the impact of electronic
Page 42 and 43: 343.6 Orders and Order Books3.6.1 T
Page 44 and 45: 36“Minimum Fill” (or “Minimum
Page 46 and 47: 38Figure 9: Order RoutingExchangeEx
Page 48 and 49: 40Figure 11: Order Book in an Order
Page 50 and 51: 42all exchanges. Generally, more th
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44and decide if a parallel trading
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46groups of similar liquidity (see
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48Order TypesGenerally, there are t
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50The Trading DayTable 18: Opening
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52Matching and uncrossingAs already
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54Figure 14: Volatility Bands at th
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57Table 24: Market Types and Order
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59The three stages of price variati
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61according to price/time priority
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65Additionally, there are special a
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67Table 34: Discretionary Trading H
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69Order Entry ParametersThe rules o
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71Trading unitsPrices of B-shares o
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73Market ParticipantsISE members au
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774.6 The Warsaw Stock ExchangeIn t
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79Must-be-filled orders can be plac
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81Figure 19: Trading Phases of the
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83executable at a determined price
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854.7 The Dubai International Finan
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Page 98 and 99:
905 ConclusionThe ever-increasing n
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92Table 56: Synoptical Table of Mar
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94Trades effected through the Elect
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967 ReferencesLiteratureBARUCCI, E.
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98GIRIDHAR, G., 2004. Market Micros
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100PECHLANER, V. M., 2001. An Analy
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102EIDESSTATTLICHE ERKLÄRUNGIch er
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