The regulatory debate concerning high-frequency trading (HFT) emphasizes the importance of distinguishing different HFT strategies and their influence on market quality. Using data from NASDAQ-OMX Stockholm, we compare market-making HFTs to opportunistic HFTs. We find that market makers...

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 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...

Stock dealers are investment firms that trade out of their own inventories by internalizing the trades off exchanges. We analyze the extent to which traders' stock transactions occur with dealers and the associated costs. Traders face a choice between exchanges' anonymous trading and high...

High-frequency traders (HFTs) mainly operate on public exchanges where multiple third-party buying and selling interests interact with each other. Following recent European regulatory changes (the Markets in Financial Instruments Directive II), HFT single-dealer platforms have emerged on which...

We exploit an optional colocation upgrade at NASDAQ OMX Stockholm to assess how speed affects market liquidity. Liquidity improves for the overall market and even for noncolocated trading entities. We find that the upgrade is pursued mainly by participants who engage in market making. Those that...