Document Open Access Logo

Nonlinear Transaction Pricing in the Securities Trading Value Chain

Author Matthias Burghardt



PDF
Thumbnail PDF

File

DagSemProc.06461.15.pdf
  • Filesize: 135 kB
  • 15 pages

Document Identifiers

Author Details

Matthias Burghardt

Cite AsGet BibTex

Matthias Burghardt. Nonlinear Transaction Pricing in the Securities Trading Value Chain. In Negotiation and Market Engineering. Dagstuhl Seminar Proceedings, Volume 6461, pp. 1-15, Schloss Dagstuhl - Leibniz-Zentrum für Informatik (2007)
https://doi.org/10.4230/DagSemProc.06461.15

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.
Keywords
  • Nonlinear Pricing
  • Securities Trading
  • Exchanges
  • Transaction Fee Experiment

Metrics

  • Access Statistics
  • Total Accesses (updated on a weekly basis)
    0
    PDF Downloads
Questions / Remarks / Feedback
X

Feedback for Dagstuhl Publishing


Thanks for your feedback!

Feedback submitted

Could not send message

Please try again later or send an E-mail