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URN: urn:nbn:de:0030-drops-9904
URL: http://drops.dagstuhl.de/opus/volltexte/2007/990/
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Burghardt, Matthias

Nonlinear Transaction Pricing in the Securities Trading Value Chain

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Abstract

Most of the research on transaction costs in the market microstructure literature focuses on implicit transaction costs. Research on the design of price schedules for explicit transaction fees is rare. This paper analyzes and classifies different price schedules and discusses their application to the market transaction business. The discussion highlights design issues and the need for a structured approach for price schedule design in the context of market engineering. In order to get some insights into customer order behavior, we conduct a trading experiment where participants trade virtual stocks on an electronic platform within a time period of three weeks. During three weeks, participants face transaction fees of different types. Order frequency and volume is measured and related to the price schedule in place. We find that both variables are influenced by transaction fees. We also try to identify price elasticities for groups with different income and use this information for a structured approach towards a nonlinear price schedule design.

BibTeX - Entry

@InProceedings{burghardt:DSP:2007:990,
  author =	{Matthias Burghardt},
  title =	{Nonlinear Transaction Pricing in the Securities Trading Value Chain},
  booktitle =	{Negotiation and Market Engineering},
  year =	{2007},
  editor =	{Nick Jennings and Gregory Kersten and Axel Ockenfels and Christof Weinhardt },
  number =	{06461},
  series =	{Dagstuhl Seminar Proceedings},
  ISSN =	{1862-4405},
  publisher =	{Internationales Begegnungs- und Forschungszentrum f{\"u}r Informatik (IBFI), Schloss Dagstuhl, Germany},
  address =	{Dagstuhl, Germany},
  URL =		{http://drops.dagstuhl.de/opus/volltexte/2007/990},
  annote =	{Keywords: Nonlinear Pricing, Securities Trading, Exchanges, Transaction Fee Experiment}
}

Keywords: Nonlinear Pricing, Securities Trading, Exchanges, Transaction Fee Experiment
Seminar: 06461 - Negotiation and Market Engineering
Issue Date: 2007
Date of publication: 10.05.2007


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