Towards integrated parallel markets - a solution approach to the order allocation problem [online].

Today’s financial electronic markets are a result of theremarkable development in information technology during thelast years. With the growth of electronization in financialmarkets and the establishment of new electronic tradingservices the design of the market structure moved in the focusof interest. Design decisions determine the marketmicrostructure, influencing trading patterns and investorsstrategies and therefore market outcome. This paper motivatesthe necessity of a new flexibility in market design to tackleeconomic problems like the fragmentation of markets and theresulting split up of liquidity. As a possible solution wepropose the concept of cascading Dynamic Market Models (cDMMs),supporting multiple market models. To understand theimplications of cDMMs, we analyze the vices and virtues ofparallel market models.