Interactions among High-Frequency Traders

Grants

Funding Acknowledgements

We are grateful to Satchit Sagade for his help in cleaning and processing the data. The paper has greatly benefited from the advice of Hendrik Bessembinder (the editor) and Allen Carrion (the referee). Other helpful comments were provided by Monica Billio, Dobrislav Dobrev, Bjorn Hagstromer, Edwin Schooling Latter, Nick Vause, Graham Young, and seminar participants at the Bank of England, the Bank of Greece, Copenhagen Business School, the Federal Reserve Board, the U. K. Financial Conduct Authority, University of Piraeus, University of York, the 2015 conference on the Development of Securities Markets: Trends, Risks and Policies at Bocconi University, the 2015 conference of the International Association of Applied Econometrics, and the 2014 Ioannina Meeting on Applied Economics and Finance. The views in this paper are solely the responsibility of the authors and should not be interpreted as representing the views of the Bank of England or any of its committees, or the U. K. Financial Conduct Authority, or the Board of Governors of the Federal Reserve System or any other person associated with the Federal Reserve System. Hjalmarsson gratefully acknowledges financial support from the Swedish Research Council (Vetenskapsradet) under Grant 2014-01429.