| Preface | 5 |
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| Organization | 9 |
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| Table of Contents | 11 |
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| Flexible VWAP Executions in Electronic Trading | 13 |
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| Introduction | 13 |
| Related Works | 14 |
| VWAP Landscape in Today’s Financial Industry | 16 |
| Flexible VWAP Trading – The Market Design | 17 |
| General Market Model Characteristics | 17 |
| Order Types and Parameters | 18 |
| Trading Phases | 19 |
| Matching Rules | 21 |
| Safeguarding | 25 |
| Conclusions | 25 |
| References | 26 |
| A Process Model for Best Execution | 27 |
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| Introduction | 27 |
| The Markets in Financial Instruments Directive | 28 |
| Overview | 28 |
| MiFID’s Best Execution Concept | 28 |
| Related Literature | 29 |
| Definition of a Best Execution Process Model | 29 |
| Determination of Relevant Factors and Their Weight | 30 |
| Selection of Execution Venues | 33 |
| Matching of Weighted Best Execution Factors and Execution Venues | 35 |
| Example for the Execution of a Specific Client Order | 37 |
| Discussion and Outlook | 38 |
| Discussion of a Minimal Approach to Comply with MiFID’s Best Execution | 38 |
| Towards Best Execution Order-by-Order as Optional Strategy | 39 |
| MiFID’s Best Execution vs. SEC’s Reg NMS | 40 |
| Conclusions | 41 |
| References | 42 |
| Transferring Portfolio Selection Theory to Customer Portfolio Management – The Case of an e-Tailer | 44 |
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| Introduction | 44 |
| Customer Relationship Management and Portfolio Theory | 45 |
| A Model for Analyzing Customer Portfolios from an Integrated Risk-Return Perspective | 46 |
| Transferability of Portfolio Selection Theory to Customer Relationships | 47 |
| Model Assumptions | 49 |
| Portfolio Optimization – Static View | 51 |
| First Evaluation with an e-Tailer’s Data Set | 54 |
| Portfolio Optimization – Dynamic View | 56 |
| Conclusion and Outlook | 58 |
| References | 59 |
| Trends in European Cross-Border Securities Settlement – TARGET2-Securities and the Code of Conduct | 62 |
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| Introduction | 62 |
| Clearing and Settlement of Securities Transactions | 63 |
| Development of Clearing and Settlement in Europe | 64 |
| Consolidation of Settlement Market Infrastructure | 64 |
| Central Counterparty | 65 |
| The European Code of Conduct for Clearing and Settlement | 65 |
| TARGET2-Securities | 71 |
| Analysis of Approaches to Improve the European Cross-Border Securities Settlement | 74 |
| Conclusion and Outlook | 76 |
| References | 76 |
| General Requirements of Banks on IT Architectures and the Service-Oriented Architecture Paradigm | 78 |
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| Introduction | 78 |
| Theoretical Foundation | 79 |
| The Service-Oriented Architecture Paradigm | 79 |
| Current State of Research on SOA and the Banking Industry | 80 |
| Related Work | 81 |
| Methodology and Sample Characteristics | 82 |
| Methodology | 82 |
| Sample Characteristics | 83 |
| Empirical Results | 84 |
| Assessment of Current/Future Relevance of Requirements on IT Architectures | 84 |
| Status Quo of SOA Adaptation in the German Banking Industry | 86 |
| Restrictions for the Adaptation of SOA | 88 |
| Limitations and Transferability of Results | 89 |
| Summary and Future Work | 89 |
| IT Capabilities and Organizational Change: Digging Deeper into the Banking Industry | 93 |
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| Introduction | 93 |
| The Scenario | 94 |
| Theoretical Framework and Research Questions | 95 |
| Background | 95 |
| Methodology | 98 |
| Data Analysis and Findings | 100 |
| Data Presentation | 100 |
| Verification of our Hypotheses | 102 |
| Discussion and Conclusions | 103 |
| References | 105 |
| Cash Tokens for SAML Based Federations | 109 |
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| Introduction | 109 |
| Related Work | 110 |
| Federation Approaches | 110 |
| Payment | 112 |
| Payment Assertions | 114 |
| Federation Architecture | 116 |
| Authentication | 117 |
| Authorization | 117 |
| Payment | 118 |
| Security Analysis | 120 |
| Payment Provider | 120 |
| Consumer | 120 |
| Service Provider | 121 |
| Eavesdropper and Man
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