An Experiment on Investor Behavior in Markets with Nonlinear Transaction Fees

Abstract

Pricing of transaction services in electronic financial markets has been undergoing a continuous change. The design of transaction fees plays a crucial role for the business structure of market places. A key element in price schedule design is the order behavior of the customers and their sensitivity to transaction fee changes. We conduct a field experiment as a means to analyze customers' order behavior following transaction fee changes. The discussion highlights the need for a structured approach for price schedule design in the context of market engineering.