WO2000062225A1 - Frais applicables dans un systeme de transaction electronique permettant une augmentation de la participation et des parts de marche - Google Patents

Frais applicables dans un systeme de transaction electronique permettant une augmentation de la participation et des parts de marche Download PDF

Info

Publication number
WO2000062225A1
WO2000062225A1 PCT/US2000/009198 US0009198W WO0062225A1 WO 2000062225 A1 WO2000062225 A1 WO 2000062225A1 US 0009198 W US0009198 W US 0009198W WO 0062225 A1 WO0062225 A1 WO 0062225A1
Authority
WO
WIPO (PCT)
Prior art keywords
trading
price
fee
market
trades
Prior art date
Application number
PCT/US2000/009198
Other languages
English (en)
Inventor
Alan F. Kay
Hazel Henderson
Charles Pyne
Original Assignee
Kay Alan F
Hazel Henderson
Charles Pyne
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by Kay Alan F, Hazel Henderson, Charles Pyne filed Critical Kay Alan F
Priority to AU42072/00A priority Critical patent/AU4207200A/en
Priority to US09/913,674 priority patent/US6882985B1/en
Publication of WO2000062225A1 publication Critical patent/WO2000062225A1/fr

Links

Classifications

    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange

Definitions

  • marketplace systems to varying degrees and in different ways, automate markets. Examples are to be found in the thousands of e-commerce web sites of the Internet, in many commodity and stock exchanges around the world, in the block trading of stocks by financial institutions, in financial markets of all kinds (the largest of which is the global foreign exchange market), in wholesale produce markets, in cattle markets, in lumber markets (mills and wholesalers), in jewelry trading, markets for event tickets, airline reservations, book buying and numerous others.
  • Other examples include systems sponsored by organizations or corporations that electronically link many of their own business activities to their suppliers, to their customers, or to both, and may be shared among several organizations in an industry.
  • Markets and marketplace systems alike are owned and controlled by one or more individuals, sponsors, organizations, agencies, governments, or associations, called here the sponsors.
  • Sponsors, acting themselves or through agents, assignees, or employees, here called managers, have responsibility for managing, upgrading, revising and operating the market.
  • This invention pertains to marketplaces which have rapid transaction rates in individual items, particularly financial markets, but also in some commercial and industrial markets. These markets often have traders or brokers handling transaction negotiations for their organizations or their clients. Financial markets also usually have dealers and market makers. With the advent of e-commerce many markets are beginning to be totally automated. Customers and principals initiate and execute transactions through the Internet or intranets with no human intermediaries. This development is putting pressure on the financial markets where dealers and market makers have played a central role. Even if the roles of dealers and market makers become marginal, the dominant principals in many financial markets with a need to transact at rapid rates require in-house traders to handle their transaction volumes. They may also use brokers, whose services less active participants in these markets require. To cover all of these cases, marketplaces which have rapid transaction rates in individual items can be distinguished by the presence and role of traders.
  • Market makers are dealers who usually are prepared to both buy and sell each item they make a market in, in a range of sizes, and throughout the trading day.
  • a good market maker in many markets gives a complete quote in size, including up to four numbers: a bid price (and the size it is good for) and an ask price (and the size it is good for).
  • the size is often implicit and the same for both sides.
  • the difference between the bid and the ask, the spread represents the gross profit per unit item that the dealer receives on a purchase and a sale, assuming the quotes for both were the same.
  • the dealer willing to furnish a valid quote with a smaller spread and over a greater range of volumes more reliably (with fewer exceptions because of difficult market conditions or for whatever reason) is a dealer who is providing a better, more efficient, and lower cost service than some other dealer whose quote has one or more of three features(a) a larger spread, (b) for a smaller range of sizes, and (c) is available over a smaller portion of the trading day.
  • the first dealer not only offers a better service than the second dealer but also helps the sponsors produce a more efficient marketplace system.
  • the payment methods of the invention should and can be made to favor more efficient dealers. Not all persons or organizations seeking to buy or sell an item in a marketplace use a dealer. Many dealers " customers are large financial institutions or financial branches of conglomerates which themselves also act as dealers and market makers with their own sets of customers.
  • Older trading systems are described, for example, in the following US patents: 6,035,289 Method and apparatus for electronic trading of carrier cargo capacity; 6.016,483 Method and apparatus for automated opening of options exchange; 6,014,643 Interactive securities trading system; 6,014,627 Credit management for electronic brokerage system; 6,012,046 Crossing network utilizing satisfaction density profile with price discovery features;
  • Older trading systems are also described in the following PCT publications: WO 00/16224 Communication of credit filtered prices in an electronic brokerage system; WO 00/11588 Anti-manipulation method and system for a real-time computerized stock trading system; WO 00/11587 A real-time computerized stock trading system; WO 99/26173 A configurable electronic trading system and the method therefor; WO 99/19821 Systems, methods and computer program products for electronic trading of financial instruments; WO 99/10815 Exchange method and apparatus; WO 98/49639 Network computer trading system; WO 98/21667 System and method for trading having a principal market maker; WO 97/45802 Distributed matching system for displaying a book of credit filtered bids and offers; WO 97/30407 Universal contract exchange; WO 97/22072 Electronic trading system including an auto-arbitrage feature or name switching feature; WO 97/08640 Anonymous trading system with improved quote input capabilities; as well as WO 97/19427.
  • What is disclosed is a method for use by buyers and sellers in the execution of trades, each trade defining a respective price.
  • prices of trades executed within the system are logged and a trend line is derived therefrom.
  • a trading fee for a particular trade is determined, the fee imposed upon the buyer in the event the respective price is below the trend line, the fee imposed upon the seller in the event the respective price is above the trend line.
  • the amount of the fee is functionally related to the difference between the respective price and the trend line.
  • the fee is in a monotonic increasing relationship with the magnitude of the difference, and is in a monotonically increasing relationship with the size of the particular trade, but the latter may be very slowly increasing (e.g. logarithmically).
  • Figures 1 and 2 are scattergrams showing derivation of typical trend lines
  • Figure 3 shows the organization of suppliers, customers and other participants in a trading system
  • Figs. 4 through 10 show actual time-series data for trading on a particular day, with best- fitting curves of increasing polynomial order.
  • a trading system serves as the marketplace for one or more organizations in a generally competitive industry that, by the use of output from suppliers and other industry- need-servicers, produces for industry customers products, services and/or data (or other marketable information) and generates orders to suppliers,
  • system which system is owned or controlled by a sponsor or sponsors and links system users (industry organizations, suppliers, and/or customers) with each other in a communication network for the purpose of executing or assisting in the advertising of needs and interests, and/or the consummation, notification, settlement, and distribution of transaction-related information/J ⁇ to between users,
  • users may also include organizations which service all or many producers in the industry, organizations such as providers of specialized trade newsletters, journals, magazines, conventions, insurance, and shipping, and may also include industry trade associations that set standards, codes of conduct, dispute resolution procedures, and generally have oversight of the industry or portions of it. and government agencies, which may regulate the industry,
  • system which system consists of one or more central computers linked to terminals located in user offices or premises via the communication network consisting of various transmission means, such as satellite, telephone, cable, radio, and optical, for the distribution of the information carried by the system to and from users, which information is often called data when processed or stored in the central computers and messages when carried on the network and which distribution is sometimes augmented by other computers (controllers, multiplexers, servers, etc.) which are included in the network to increase the allowed number of users, and/or the speed and capacity of message distribution of the data, and which central computers and terminals are considered as nodes of the network,
  • terminals can be personal computers (pc's), other computers, and/or telephones and can include TV monitors, keyboards, printers, and other data storage, input, and retrieval devices,
  • transactions are generally thought of as buying and selling but can include, but are not limited to, brokering, renting, borrowing, bartering, financing, lending, shipping, insuring, credit-checking and extending, appraising, grading, tracking and verifying, losing/finding and returning, receiving and accepting selected (or all) of the individual items produced by the industry, which items include products, services or data,
  • system also may acknowledge, confirm, reconcile, settle, process, store and retrieve ancillary materials associated with transactions such as confirmations, invoices, bills, payments, and various analyses and summaries of data generated by transactions over various time periods, which analyses and summaries may be of interest either to a single user, many users, the media, and/or the general public,
  • pseudo-fungible items are items which need a large number of parameters or specifications to make it possible for both sides to agree on a transaction, but all of which parameters and specifications may be referenced by a relatively short label, reference numbers, icons, or other description of the item or by conformance to an industry-accepted standard so referenced with the result that, one way or another, a quick and satisfactory transaction may be consummated.
  • This invention pertains to marketplace systems which include one or more computers acting as central processors and/or servers, and terminals, such as personal computers, located in user's offices or other convenient remote locations, all linked together by one or more high data-rate electronic and/or optical networks. Terminals typically include screen monitors, printers, and other devices now commonly associated with personal computers. In the modern world, such systems can very efficiently and cost-effectively handle a huge load of transactions, thousands of users, and whatever processing load required that only a few years ago might have been thought impossibly large.
  • the invention applies to all such systems and consists of a set of rules, algorithms, and procedures, many embedded in software and hardware, others under which the market itself is operated by its sponsors and managers, as will be explained.
  • the invention is itself a system that provides advantages for existing marketplace systems or for de novo systems built to take maximum advantage of the invention.
  • Sponsors have complete control of how the advantages are allocated between themselves and the users.
  • Fees may be adjusted by caps and minimums.
  • Billed amounts may be adjusted with discounts or premiums depending on the type of user and/or with volume discounts figured in a variety of ways.
  • the invention is particularly useful and beneficial for markets where there are a large number of similar transactions over a time period of a day or so for each item traded on the market.
  • parties are typically represented by professionals, called traders.
  • Items are best identified by relatively short descriptions so that parties to the transaction readily know quickly and exactly what is being transacted and all governing terms and conditions. Descriptions may reference, implicitly or explicitly, standards and specifications which have no limit to their complexity as well as photos, videos, etc.
  • transactions made through the system must be reported to the system, preferably by both parties.
  • the execution of the transaction may take place on the system itself as soon as the parties agree on (1) the item, (2) usually also unit price and quantity and (3) sometimes terms of delivery and settlement, and other details.
  • Some information on the item may be implicit or covered by the rules of the marketplace. If a purchase and sale, the item can be an option, a future transaction, a forward transaction, a barter transaction (or swap), or have other conditional terms depending on future events, such as a well-known market index reaching a certain value.
  • the invention relates to how the payments made by users to sponsors for the use of the system are determined.
  • Such payments could be used in any of the following ways:
  • some or all of the payments made for such purposes come from transaction fees, calculated by the system and charged to each party to a transaction.
  • a key concept of the invention is that the fees charged automatically to the two parties of a transaction are generally (1) different and (2) small. If. aside from the fee, the transacting parties agree to a certain price, the presence of the fee will seldom if ever result in a party backing away from a transaction. It is true that fees will generally be very small compared to other transaction costs or essentially negligible, but provisions are included so that both parties will willingly proceed even when that is not the case, because the benefits provided by other features of the system are more important to them.
  • Fees are of several types, accumulated transaction by transaction, considered separately and then combined according to the market's rules for allocating charges between different fee types. Users are regularly billed for total fee charges from time to time, like monthly.
  • the first fee type is a fee depending on the purpose of the transaction. This capability is included in the invention to accommodate to the situation where the sponsors believe that user fees should depend on the purpose of the transaction, which is often different between counterparties.
  • User purposes serve as a non-trivial example in the FX or foreign exchange market listed in Table 1. Each user indicates transaction purpose at the time of consummating a transaction. It is anticipated that most users will participate by means of traders for whom speed and ease of use will be essential. A single key stroke may (1) indicate purpose according to a sponsors Purpose Code table and at the same time, if desired, (2) cause the execution of the trade. Sponsors may occasionally change purpose codes, but should do this rarely since it requires all traders to switch to new codes which may be difficult in a very large market.
  • Transactions are executed in order to facilitate, make payments toward, or arrange for the following
  • the second fee type is a new concept, a fee for market timing. Such a fee would have been impractical before two recent technological developments, the vast increase in network bandwidth and the great compression of processing time. Furthermore, such a fee was not important in many markets before achieving high trading volume and speed became extremely important. This fee is only appropriate if there are many transactions in a single item over a relatively short time period, like an hour, day or week. This fee is computed by different formulas in successive time intervals, called time segments. As soon as a segment ends the next one begins. The end of a segment may be determined by any of several different choices of segment determination, such as:
  • Figures 1 and 2 show two examples of a price-versus-time scatter diagram of points, whose ordinate is the reported unit price expressed as a percent of a reference price (such as the unit price of the first trade of the segment), and whose abscissa is the reported time of execution.
  • the total value or amount of a transaction is the unit price multiplied by the size (also sometimes called "volume").
  • the activity in each item produces a different diagram, and different items may have different time segments.
  • Such diagrams normally show a scatter of points around a price trend line for a period of time after which the trend may change.
  • Figure 1 is an example for a period of time T. At any given point in time, when that is the current time, no one knows for sure how the trend line may shift over the whole segment, when the segment ends.
  • the plane of the scatter diagram is the (t,r) plane; t (for time) versus r (for ratio of unit price to reference price).
  • a formula for the trend line as the straight line best-fitting all the data points is developed below.
  • a simple arrangement, called the sponsors Size Weighting Table may provide for weightings versus size of trade. See Table 2 for an example of such a table, where the weighting grows roughly logarithmically with size. This arrangement might be appropriate for a market, like the foreign exchange market, where size ranges over five orders of magnitude or more. For example if the size of a transaction were
  • the weightings are determined automatically by the system computer(s) from the weightings formula or table, as the case may be, and fed into the best- fitting trend-line formula as described below.
  • the best fitting line can be used to determine the market timing fee.
  • the sponsor chooses a formula for assigning fees depending on departure from the best-fitting line, measured vertically along the ordinate (see Figures 1 or 2), of each transaction from the best-fitting line.
  • a moving average may be more acceptable because either of these options is simpler and more familiar to users.
  • time segments may be differently defined.
  • a time segment begins N trades back and ends after each transaction, where N is a parameter which may be determined as empirically reasonable.
  • the trader unlike the situation in the preferred methods of the preceding paragraph, can calculate the fee before committing to the transaction.
  • the fee gets significant, as in the case of the "crisis" fee, which may be in the range .5% to 2% or higher, the trader should be informed of the size of the fee before committing to a transaction. Examples of such segments for 500 sequential yen-dollar exchanges with values of N of 50 and 25 are shown as Figures 4 and 5, respectively.
  • Table 3 As an example of how Table 3 can be used, suppose the transaction takes place at a unit price exactly 0.5% above the trend line. Then, compared to the situation where the price would be exactly on the trend line, the seller did better financially than the buyer by exactly one percent. The seller is required to pay a fee to the system of .01%, which is itself very small, only one percent of the seller's benefit from fortuitous market timing. We use the word fortuitous recognizing that it is possible that the benefit may in some cases be legitimately credited to superior market intelligence, insights, intuition, or market power.
  • the sponsor(s) will be provided with an option between two treatments of this fee: (1) illustrated in table 3, the system sponsor, not the uncharged counte ⁇ arties, receives the fee, and (2) the system sponsor does not receive the fee, the uncharged counte ⁇ arties do.
  • sponsors' revenue is increased and in case (2) sponsors receive no increase in revenue, but system stability and user good will are greatly increased, so that sponsor market share will be maintained or increased.
  • Sponsors must choose wisely between these two courses of action. The system may go on line with one choice and switch to the other later.
  • the option design must take into account that switching may occur rarely or never, but still should be a simple matter.
  • the base charge in this example is a fixed minimum, 0.001%, even smaller than the smallest increment of .01%, with an absolute minimum of $10 and is charged the same to both buyer and seller, as the basic cost/value of participating on a system which is paid for by transaction fees and charged by the transaction. Aside from the minimal base charge, these additional fees for a market timing benefit is between one hundredth and one two hundredth the size of the benefit.
  • FIG. 6 illustrates how the best-fitting trend line can appear to the eye to fit the data of Fig. 4 quite well. Any discrepancy that appears to be unfair and inaccurate will be readily spotted and could cause dissatisfaction and loss of user support. This effect will be ameliorated by capping this fee at a small percentage of the benefit, like 1 or 2 per cent.
  • the fee must be adjusted for the difference in short term interest rates prevailing at the earlier date as they apply to the two currencies which are being exchanged in the transaction. This difference may substantially reduce or increase the benefit of the beneficiary (and hence the fee charged) and indeed may turn the counterparty into a beneficiary and subject to the fee.
  • the intention of the invention is to have fees affect the market as little as possible. Very small fees, charged against those who have benefitted most from fortuitous timing is an important way to do this. But that is not all that can be done with this approach.
  • fortuitous timing is measured to be a sequence of best- fitting straight line segments, independently determined in each time segment as determined from the choices of Figure 2 or otherwise.
  • the best-fitting lines of the two segments do not necessarily connect (see Figure 2).
  • the values of r of these two adjacent segments may be quite far apart at the point in time where the segments meet.
  • Table 5 illustrates how purpose, either as a premium or discount, may be factored into the total fee charge with three pu ⁇ oses illustrated generically as: 1 favored, 2 standard, 3 discouraged.
  • the transaction fee can be calculated from tables such as shown in Tables 3 and 4. unchanged because of the standard pu ⁇ ose. If the same trade were for a favored purpose, the fee would be cut in half and for a discouraged pu ⁇ ose, it would be doubled.
  • the sponsors are of course free to make their own tables with specific pu ⁇ oses and fee factors at any levels they choose, larger or smaller.
  • the percentage fees of the sponsor's Market Timing Fee Table may need to be adjusted for transaction size.
  • One method for doing that is to have a table such as the one shown in Table 3 apply to trades up to a standard size, for example up to a $1 million trade, and a further table, the Market Timing Fee Table for large trades (over $1 million), such as Table 4.
  • Tables 2 and 3 use the term "curve” rather than "line”.
  • trend line is used, it preferably embraces trend curves. Table 4.
  • Fee scales are chosen, as in Table 3 and Table 4, so that this fee, though occasionally much larger than the base-fee, also remains small enough to be unnoticed or insignificant. Scales should generally be capped at low values such as 1 or 2 per cent so that this fee is not more than a small percentage of the benefit.
  • a key idea for this method of determining market timing fees is that the market cannot know the amount of the fee until after the time segment ends for which the best fitting curve is calculated. All that users know is that the fees will be small and reasonable and negligible in the big picture. This will minimize the possibility of the potential fee having any effect on what trades will execute and at what prices. The potential for traders playing games with these variable fees is essentially non-existent.
  • B n is the amount of one currency to be exchanged for A n the amount of the second currency, or more generally where two parties have contractually agreed to abide by the terms of an instrument according to which the first party at time t n obtains, or accepts an amount B n of currency B (or some other consideration valued at B n in currency B) in exchange for transferring (or giving) at the same time (t n ) to the second party some amount A n of currency A or some other consideration valued at amount A n in currency A at time t n .
  • ⁇ is the slope of the line and ⁇ is the R-intercept.
  • One definition of the best-fitting line is the line defined by values of ⁇ and ⁇ for which the root-mean-square of the vertical scatter of points is minimized. This occurs when
  • EN is always greater than F 2 , except for the degenerate case when all the t n are equal.
  • the best-fitting line is unique. In the degenerate case, which is irrelevant for our purposes, the line may be indeterminate.
  • the best-fitting line has slope ⁇ and R-intercept ⁇
  • fitting a second or third degree curve may handle some kinds of inflection points better than two or three straight lines in the sense that points off the curve near the inflection point may be more reasonably classified as to whether they are off the best fitting smooth curve of degree two or three by enough vertical distance to change the applicable fee for timing.
  • This nicety could certainly be looked at in a preliminary study of the best rules for judging the effects of market timing and setting fees accordingly. It is hard to believe that any approximating curve greater than degree three would be of value, but this possibility should not be totally dismissed.
  • t 2 ( ⁇ 2 - ⁇ ,)/4a + ( ⁇ , - ⁇ 2 )/( ⁇ 2 - ⁇ ,)
  • the system computer can, once again effectively instantaneously, calculate the vertical separation of the transaction price points in the variable time interval where the parabola is the best fitting segment in the root-mean-square sense we have used in Equation 2, with weightings to correct for transaction size variations as before. It will by this means find the value of "a” which minimizes this RMS separation, and accordingly is the unique best fitting parabola.
  • a method for use by buyers and sellers in the execution of trades each trade defining a respective price.
  • prices of trades executed within the system are logged and a trend line is derived therefrom.
  • a trading fee for a particular trade is determined, the fee imposed upon the buyer in the event the respective price is below the trend line, the fee imposed upon the seller in the event the respective price is above the trend line.
  • the amount of the fee is functionally related to the difference between the respective price and the trend line.
  • the fee is in a monotonic increasing relationship with the magnitude of the difference, and is in a monotonically decreasing relationship with the size of the particular trade.
  • sponsors of a marketplace system may wish to establish contractual relationships with dealers, which establish a large number of them as authorized dealers.
  • dealers which establish a large number of them as authorized dealers.
  • a reliable, adequately capitalized individual or organization with knowledge of how a dealer operation functions and prepared to meet audited account-keeping standards, must agree that:
  • System sponsors must use the method that rewards efficient risk-takers who provide market liquidity and eliminate the market maker ' s traditional method of maximizing revenues from market making itself. The only way they can do that is to somehow measure the performance of their authorized dealers as efficient market makers in a way that is fair, transparent, and acceptable to all users. Quantitatively measuring a market maker's performance cannot be done in a satisfactory way without complete, accurate trade-by-trade transaction reporting.
  • the width of the spread does not measure the efficiency of a dealer without other information. When the risk is higher because of market conditions, a wider spread is justified and should not be penalized.
  • the invention requires the system itself to calculate for each transaction between a customer and an authorized dealer, and for each authorized dealer in the item at the time of the transaction, the (1) unit price difference and (2) the money value difference (size times unit price) between the transaction and (case a) if the transaction is a customer purchase, all higher offers quoted by authorized dealers in the item, just prior to the transaction, or (case b) if the transaction is a customer sale, all lower bids quoted by authorized dealers in the item, just prior to the transaction.
  • authorized dealers should be separated into classes depending on their size.
  • the sponsors should initially separate authorized dealers into Classes, I, II, III, etc., by the minimum amount of liquid capital (available for trading and segregated from all other assets) that the authorized dealer must have.
  • dealers' classifications may vary from item to item. A dealer may be in Class I for one item and class II for another, but most authorized dealers will probably be in the same class for most items.
  • trading volumes of authorized dealers are available in each item, these volumes may also have to meet minimum requirements for a dealer to remain in its class. Class I has the highest requirement for liquid capital and trading volume, Class II has a smaller capital and trading volume requirement, etc.
  • Class I might require three or four times the capital and trading volume that Class II required; Class II three or four times as much as Class III. and so on (using the same three or four ratio each time) right down to Class X (ten), requiring about five orders of magnitude smaller required capital and trading volume.
  • Class X ten
  • the largest, most successful and inevitably most prestigious authorized dealers would be in the lowest category (I) for most if not all the items they deal with. Dealers form vertical "chains" so that if a customer wants a quote (e.g.
  • Authorized market-makers in an item are financially motivated to compete against other authorized market- makers in that item, by being evaluated on their performance on each transaction of the item taking place on the system by a system feature: If it is a sale by a non- market-maker user, the central computer(s) keep track of the bids of all the authorized market- makers at the time of the transaction, and if it is a purchase, the computer keeps track of the offers. In both cases the competing market-makers get penalty points depending on how close their bids or offers were to the winning quote. Considering the case of a customer sale, the market-makers who had the same bid as the market-maker who bought the item, are awarded zero penalty points.
  • Those with lower bids get more penalty points depending on how far they were from the transacted bid, with maximum penalty going to a market-maker who had no bid showing at the time of the transaction.
  • the market-makers who had the same offer as the one who sold the item are awarded zero penalty points.
  • Those with higher offers get more penalty points depending on how far they were from the transacted offer, with maximum penalty going to a market-maker who had no offer showing at the time of the transaction.
  • Market- makers must only be expected to compete against other market- makers who are in their same class, where the class is defined by the range of transaction volume, such as the volume ranges illustrated in Table 4.
  • the scale of the penalty points may depend on the volume of the trade, i.e., larger for larger trades, and may be different for different items, i.e., more for easy-to-trade items.
  • the bonus has to equal in motivational strength the desire for each market-maker to bring in more profits for itself by having wide spreads and must be competitive with marketplaces that do not have this incentive.
  • Most of the market-makers on the system should get substantial bonuses. Very few should get no bonus, perhaps only those who are expected to resign - with resignation procedure conforming to market-makers' agreements with sponsors.
  • the sponsors' marketplace becomes dominant in the item trading volume with respect to all marketplaces, the natural efficiencies of the largest market will easily provide adequate capital for compensating the best dealers by these or similar formulas.
  • the amounts the dealers should receive as bonuses may perhaps have to be in part, in the form of notes, stock options, or similar paper.
  • any sponsor of a market-place system should consider operating without market-makers or with a minimal number of market-makers. This can be done by sponsor(s) or their agents reviewing the situation in each item and each size class, item by item, size class by size class, and making decisions to eliminate market-makers where customer order flow makes it possible to operate without market-makers, or to reduce their number to a very few with little competition, right down to a single trusted market-maker without competitors.
  • the sponsor(s) will generally be one or more central banks who along with the customers will be users of the system.
  • Such central bank systems will benefit from the timing fees and market maker evaluation methods described above, but further benefit from the imposition of so-called "crisis fees.”
  • Central banks may have to withstand a run on their own currencies of the nature of a speculative bear market raid, where the central bank or national authorities feel forced to sell their currencies at dropping prices or buy them again at higher prices, in order to protect their national financial systems. Either way at the end of the crisis the country can wind up with its currency greatly devalued as many recent examples illustrate.
  • Crisis fees are charged only to users selling a falling currency (and thus buying a rising currency).
  • the crisis is benchmarked by the price of other currencies not under attack rising with respect to the falling currency of the central bank.
  • a crisis is often marked by rapid increases in (1) transaction volume and (2) price.
  • time segments begin with each new threshold value and end at every trade. Unlike the time segments of the fortuitous market timing fee. there are then numerous overlapping time segments under evaluation. Users should be informed of the size of the current crisis fee applicable to a transaction before a user executes the transaction. Indeed preferably everyone on the system would be informed on a continuous basis of the size of the current crisis fee. This is entirely different from the market timing fee which should only be considered beneficial to the user if it is noticed at all.
  • system computers will give the system managers various presentations of data in the most meaningful and immediately useful form for helping them, together with the sponsor(s), judge the severity of the situation.
  • This data will include among other things, in time segments as described above: ( 1) when threshold values have been exceeded and by how much, (2) upside and downside incremental size and (3) and upside momentum. Parameters are then available to the sponsors to be selected under the conditions prevailing at crisis time so that system managers who have become very familiar with this type of data by extensive training, planning, and rehearsing, are in a well informed position and fully understand how to determine and adjust crisis fee levels to protect a central bank by significantly reducing the frequency, speed and magnitude of such devaluations.
  • central bank X will have close to 100% market share of all currencies it exchanges for its X currency with one exception. Market share of currency exchanges of another central bank, say
  • Y that participates in a multi-central bank system with X, must be split between X and Y, on an agreed basis, say 50-50. Together they would still have nearly 100% market share. For this reason, it will be very difficult for any speculators or other major players in currency X to begin a bear raid. At the critical time when a raid might otherwise have begun, there will be no other marketplaces where there are X buyers or sellers of significant size poised to launch a raid.
  • crisis fee rates can be, hypothetically, set so high that the system would virtually halt all trading in X.
  • crisis fees can be set at zero so that they have no effect on trading.
  • Somewhere between the two is a broad range of parameter choices where the system will work well to bring in crisis revenues for the benefit of the central bank and the nation and also at the same time moderate the crisis.
  • Fees should be set so that the price of stable currencies Y do rise with respect to X, but the increase is slower and the price swing significantly less than it would have been without the crisis fee.
  • Crisis fees need never stop trading altogether to accomplish this result.
  • the sponsors of any system utilizing this invention seem required to make choices. If they intend to favor or discourage transactions depending on transaction pu ⁇ oses, they should define the pu ⁇ oses by categories and make choices of the degree to which they are to be favored or discouraged, such as illustrated in Table 5. If they intend to derive revenue from fee charges for market timing, they must arrange to set various parameter values that determine these fees and in particular for stabilizing markets in a way that also increases fees. It is anticipated that sponsors will determine such purposes and parameters in broad outline, and then authorize managers to make the day-to-day choices of parameter values within guidelines that the authorizations set forth.
  • the country of the lead central bank can offer these newcomers a partnership with network nodes in their country's financial capital and other major cities, carrying the new partner country's trading data on the lead country's system network, and integrating the new data into its various transaction and quotation displays and reports. If it wishes to be completely perennial, the lead central bank can agree to share system fees equitably with each participating country central bank and to accept the voice of the partner country central bank as equal in weight to its own in setting system operating parameters and other sponsor policies. Even if it goes to this perennial extreme, which of course it need not do, it retains the advantage that it defined the initial system to meet its own needs and preferences.
  • X ⁇ hN has grown little compared to X cb0 , but X ⁇ has grown enormously compared to X t0 , perhaps a thousand time more.

Landscapes

  • Business, Economics & Management (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Engineering & Computer Science (AREA)
  • Development Economics (AREA)
  • Economics (AREA)
  • Marketing (AREA)
  • Strategic Management (AREA)
  • Technology Law (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Theoretical Computer Science (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)

Abstract

L'invention concerne un procédé destiné à être utilisé par des acheteurs et des vendeurs pour l'exécution de leurs transactions. Le prix de chaque transaction effectuée à dans le système est consignée. On déduit ensuite une ligne de tendance de ces transactions consignées. Les frais d'opération pour l'exécution d'une transaction donnée sont déterminés sur la base de la différence entre le prix de la transaction et la ligne de tendance, et du volume de la transaction. Ces frais sont facturés à l'acheteur si le prix de la transaction est inférieur à la ligne de tendance, ou au vendeur si le prix de la transaction est supérieur à la ligne de tendance. Les teneurs de marché pour chaque article sont évalués en fonction de l'importance de leurs marges au moment de chaque transaction, et ils reçoivent des bonus périodiques basés sur ces évaluations. Les transactions dans le système sont majorées de 'frais de crise' lorsque des qualités mesurées de façon particulière excèdent les limites normales.
PCT/US2000/009198 1999-04-08 2000-04-07 Frais applicables dans un systeme de transaction electronique permettant une augmentation de la participation et des parts de marche WO2000062225A1 (fr)

Priority Applications (2)

Application Number Priority Date Filing Date Title
AU42072/00A AU4207200A (en) 1999-04-08 2000-04-07 Marketplace system fees enhancing market share and participation
US09/913,674 US6882985B1 (en) 1999-04-08 2000-04-07 Marketplace system fees enhancing market share and participation

Applications Claiming Priority (6)

Application Number Priority Date Filing Date Title
US12826399P 1999-04-08 1999-04-08
US60/128,263 1999-04-08
US13105499P 1999-04-26 1999-04-26
US60/131,054 1999-04-26
US17436300P 2000-01-04 2000-01-04
US60/174,363 2000-01-04

Publications (1)

Publication Number Publication Date
WO2000062225A1 true WO2000062225A1 (fr) 2000-10-19

Family

ID=27383705

Family Applications (1)

Application Number Title Priority Date Filing Date
PCT/US2000/009198 WO2000062225A1 (fr) 1999-04-08 2000-04-07 Frais applicables dans un systeme de transaction electronique permettant une augmentation de la participation et des parts de marche

Country Status (2)

Country Link
AU (1) AU4207200A (fr)
WO (1) WO2000062225A1 (fr)

Cited By (13)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
KR20020039619A (ko) * 2000-11-21 2002-05-27 가네꼬 히사시 제품 수발주 시스템
GB2377040A (en) * 2001-06-25 2002-12-31 Secr Defence Financial portfolio risk management
AU2007221878B2 (en) * 2006-10-06 2009-07-23 Syncada Llc Transaction finance processing system and approach
AU2007221877B2 (en) * 2006-10-06 2009-07-23 Syncada Llc Transaction payables processing system and approach
US8392285B2 (en) 1996-11-12 2013-03-05 Syncada Llc Multi-supplier transaction and payment programmed processing approach with at least one supplier
US8396811B1 (en) 1999-02-26 2013-03-12 Syncada Llc Validation approach for auditing a vendor-based transaction
US8560439B2 (en) 2004-06-09 2013-10-15 Syncada Llc Transaction processing with core and distributor processor implementations
US8589268B2 (en) 1996-11-12 2013-11-19 Syncada Llc Financial institution-based transaction processing system and approach
US8650119B2 (en) 2004-06-09 2014-02-11 Syncada Llc Order-resource fulfillment and management system and approach
US8712884B2 (en) 2006-10-06 2014-04-29 Syncada Llc Transaction finance processing system and approach
US8751337B2 (en) 2008-01-25 2014-06-10 Syncada Llc Inventory-based payment processing system and approach
US8762238B2 (en) 2004-06-09 2014-06-24 Syncada Llc Recurring transaction processing system and approach
US8825549B2 (en) 1996-11-12 2014-09-02 Syncada Llc Transaction processing with core and distributor processor implementations

Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US3573747A (en) * 1969-02-24 1971-04-06 Institutional Networks Corp Instinet communication system for effectuating the sale or exchange of fungible properties between subscribers
US3764063A (en) * 1972-04-18 1973-10-09 M Siegel Computer and display device
US5077665A (en) * 1989-05-25 1991-12-31 Reuters Limited Distributed matching system
US5101353A (en) * 1989-05-31 1992-03-31 Lattice Investments, Inc. Automated system for providing liquidity to securities markets

Patent Citations (4)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US3573747A (en) * 1969-02-24 1971-04-06 Institutional Networks Corp Instinet communication system for effectuating the sale or exchange of fungible properties between subscribers
US3764063A (en) * 1972-04-18 1973-10-09 M Siegel Computer and display device
US5077665A (en) * 1989-05-25 1991-12-31 Reuters Limited Distributed matching system
US5101353A (en) * 1989-05-31 1992-03-31 Lattice Investments, Inc. Automated system for providing liquidity to securities markets

Non-Patent Citations (2)

* Cited by examiner, † Cited by third party
Title
"Enerchange signs letter of intent to start electronic trading system", 11 August 1995, Inside FERCs gas market report, page 2. *
SORKIN ET AL.: "Follow the money (trading tips)", FUTURES,, vol. 24, no. 4, April 1995 (1995-04-01), (CEDAR FALLS, IOWA), pages 42 - 43, XP000912152 *

Cited By (15)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US8392285B2 (en) 1996-11-12 2013-03-05 Syncada Llc Multi-supplier transaction and payment programmed processing approach with at least one supplier
US8825549B2 (en) 1996-11-12 2014-09-02 Syncada Llc Transaction processing with core and distributor processor implementations
US8595099B2 (en) 1996-11-12 2013-11-26 Syncada Llc Financial institution-based transaction processing system and approach
US8589268B2 (en) 1996-11-12 2013-11-19 Syncada Llc Financial institution-based transaction processing system and approach
US8396811B1 (en) 1999-02-26 2013-03-12 Syncada Llc Validation approach for auditing a vendor-based transaction
KR20020039619A (ko) * 2000-11-21 2002-05-27 가네꼬 히사시 제품 수발주 시스템
GB2377040A (en) * 2001-06-25 2002-12-31 Secr Defence Financial portfolio risk management
US8560439B2 (en) 2004-06-09 2013-10-15 Syncada Llc Transaction processing with core and distributor processor implementations
US8650119B2 (en) 2004-06-09 2014-02-11 Syncada Llc Order-resource fulfillment and management system and approach
US8762238B2 (en) 2004-06-09 2014-06-24 Syncada Llc Recurring transaction processing system and approach
AU2007221878B8 (en) * 2006-10-06 2009-12-17 Syncada Llc Transaction finance processing system and approach
AU2007221877B2 (en) * 2006-10-06 2009-07-23 Syncada Llc Transaction payables processing system and approach
AU2007221878B2 (en) * 2006-10-06 2009-07-23 Syncada Llc Transaction finance processing system and approach
US8712884B2 (en) 2006-10-06 2014-04-29 Syncada Llc Transaction finance processing system and approach
US8751337B2 (en) 2008-01-25 2014-06-10 Syncada Llc Inventory-based payment processing system and approach

Also Published As

Publication number Publication date
AU4207200A (en) 2000-11-14

Similar Documents

Publication Publication Date Title
US6882985B1 (en) Marketplace system fees enhancing market share and participation
US7908199B2 (en) System and method of responding to orders in a securities trading system
US8543490B2 (en) System and method for physicals commodity trading
US7409367B2 (en) Derivative securities and system for trading same
US7620590B2 (en) Method and system for optimal pricing and allocation with canceling/modifying of indications of interest
US20010049651A1 (en) Global trading system and method
US20010037284A1 (en) Negotiated right exchange system and method
US10269068B1 (en) System and method for matching users in a wireless communication system
US20200111161A1 (en) Methods and apparatus for controlling assets
WO2000062225A1 (fr) Frais applicables dans un systeme de transaction electronique permettant une augmentation de la participation et des parts de marche
Weber Next-generation trading in futures markets: A comparison of open outcry and order matching systems
Weber Elements of market structure for on-line commerce
JP2005535033A (ja) 仕組み債を有する合成ファンド
Stephen et al. Determining automation effect on market efficiency
US20080103957A1 (en) User interfaces for F.A.I.R. systems
Westerholm Lecture notes in market microstructure and trading
Häfner Market Efficiency, Behavior and Information Asymmetry: Empirical Evidence from Cryptocurrency and Stock Markets
VERES et al. MNB HANDBOOKS
Weiss Financial instruments: equities, debt, derivatives, and alternative investments
NZ528555A (en) Proxy asset system and method
Shankar et al. Auctions of Government Securities in India: An Analysis
Unterschultz et al. Flexible Pricing and Payment Alternatives on Canadian Wheat Board Pooling for Wheat
al-Bashir et al. Chapter Five. Concept, Scope of Futures Contracts and Speculation
Brown-Hruska COMPETING MODELS FOR MARKET DATA DISSEMINATION: AComparison OF STOCK AND FUTURES MARKETS
Özmen Hedging of a Multinational Firm Using Futures and Options that is Subject to Price Uncertainty due to Foreign Exchange Fluctuations

Legal Events

Date Code Title Description
AK Designated states

Kind code of ref document: A1

Designated state(s): AE AG AL AM AT AU AZ BA BB BG BR BY CA CH CN CR CU CZ DE DK DM DZ EE ES FI GB GD GE GH GM HR HU ID IL IN IS JP KE KG KP KR KZ LC LK LR LS LT LU LV MA MD MG MK MN MW MX NO NZ PL PT RO RU SD SE SG SI SK SL TJ TM TR TT TZ UA UG US UZ VN YU ZA ZW

AL Designated countries for regional patents

Kind code of ref document: A1

Designated state(s): GH GM KE LS MW SD SL SZ TZ UG ZW AM AZ BY KG KZ MD RU TJ TM AT BE CH CY DE DK ES FI FR GB GR IE IT LU MC NL PT SE BF BJ CF CG CI CM GA GN GW ML MR NE SN TD TG

121 Ep: the epo has been informed by wipo that ep was designated in this application
DFPE Request for preliminary examination filed prior to expiration of 19th month from priority date (pct application filed before 20040101)
WWE Wipo information: entry into national phase

Ref document number: 09913674

Country of ref document: US

REG Reference to national code

Ref country code: DE

Ref legal event code: 8642

122 Ep: pct application non-entry in european phase
NENP Non-entry into the national phase

Ref country code: JP