Pricing Engineering for Electronic Financial Markets

e-Finance Discussion Paper No. 13/2006

Posted: 15 May 2008

See all articles by Peter Gomber

Peter Gomber

Goethe University Frankfurt Faculty of Economics and Business Administration

Marco Lutat

Goethe University Frankfurt Faculty of Economics and Business Administration

Abstract

Due to the demutualization of exchanges, the business case of operating an electronic financial market has become more important. Specifically, it is vital to design pricing incentives for the provision of order flow and thereby to assure market liquidity. The paper will introduce the Concept of pricing engineering for electronic financial markets. Based on an analysis of environmental factors and the objectives of the market operator, a focus will be laid on the implementation of fee structures that include liquidity incentives. The concepts were implemented in the context of a new electronic market, the Dubai International Financial Exchange (DIFX). The project will be described as a case study for the practical realization of the approach.

Suggested Citation

Gomber, Peter and Lutat, Marco, Pricing Engineering for Electronic Financial Markets. e-Finance Discussion Paper No. 13/2006. Available at SSRN: https://ssrn.com/abstract=1133390

Peter Gomber

Goethe University Frankfurt Faculty of Economics and Business Administration ( email )

Grueneburgplatz 1
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.efinancelab.de/no_cache/team/?user_wiwipubs_pi2[showUid]=478

Marco Lutat (Contact Author)

Goethe University Frankfurt Faculty of Economics and Business Administration ( email )

Grueneburgplatz 1
Frankfurt am Main, 60323
Germany

HOME PAGE: http://www.efinancelab.de/no_cache/team/?user_wiwipubs_pi2[showUid]=548

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