user1151: I'm asking about legal concerns, not technological ones. If I'm based in the USA, should the exchange be a US company? If not, where should it be based? 
How is banking set up? 

user323: I don't think StackExchange is the best place to ask for legal advice.
Logically, one would set up a company, get a business bank account and start their operations. However, it is very advisable to consult a lawyer first, as there are some legal concerns one should keep in mind, like the money laundering regulations that one should adhere to.

1151: <p>I'm asking about legal concerns, not technological ones. If I'm based in the USA, should the exchange be a US company? If not, where should it be based? </p>

<p>How is banking set up? </p>
 323: <p>I don't think StackExchange is the best place to ask for legal advice.</p>

<p>Logically, one would set up a company, get a business bank account and start their operations. However, it is very advisable to consult a lawyer first, as there are some legal concerns one should keep in mind, like <a href="http://en.wikipedia.org/wiki/Money_laundering#United_States">the money laundering regulations</a> that one should adhere to.</p>
