Exchange : It is a place where shares of public listed companies are traded. Stock exchange basically serve as primary market where companies float IPO to raise capital, secondary market is a place where the buying and selling of security post primary market takes place between a buyer and a seller.Broker : A stock exchange facilitates stock broker to trade company stocks and other securities on behalf of investor and a company.A stock broker charges fees which is called as brokerage from the clients
SEBI : Sebi is a regulatory authority which governs primary and a secondary market.