We study order aggressiveness of market-making high-frequency traders (HFTs), opportunistic HFTs, and non-HFTs. We find that market-making HFTs follow their own group's previous order submissions more than they follow other traders' orders. Opportunistic HFTs and non-HFTs tend to split market...

This is the internet appendix for "How Aggressive are High-Frequency Traders". The paper "How Aggressive are High-Frequency Traders" to which these Appendices apply is available at the following URL: "http://ssrn.com/abstract=2326446" http://ssrn.com/abstract=2326446

We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare consequences. Fund managers' portfolios are unobservable and they incur private costs in running them. Conditioning managers' compensation on a benchmark portfolio's performance...

We propose a model of asset management in which benchmarking arises endogenously, and analyze its unintended welfare consequences. Fund managers' portfolios are unobservable and they incur private costs in running them. Conditioning managers' compensation on a benchmark portfolio's performance...

Existing work on investor heterogeneity in corporate bond markets mainly focuses on the shares of different types of investors. We find that investor concentration also plays an important role in corporate bond pricing dynamics and secondary market liquidity, even after controlling the shares of...