High-Frequency Trading Strategies

The authors thank Joseph Barbara, Hedi Benamar, Bidisha Chakrabarty, Kevin Crotty, Doug Foster, Sean Foley, Austin Gerig, Terrence Hendershott, Elmer Funke Kupper, Brad Katsuyama, Vincent van Kervel, Adrian Lee, Katya Malinova, Thomas McInish, Pamela Moulton, Maureen O’Hara, Christine Parlour, Talis Putniņs, Ryan Riordan, Kevin Roshak, Ioanid Rosu, Andriy Shkilko, Elvira Sojli, Avanidhar Subrahmanyam, Wing Wah Tham, Kumar Venkataraman, Bart Yueshen, Haoxiang Zhu, and Marius Zoican as well as conference and seminar participants at the Australasian Finance and Banking Conference, Auckland Finance Conference, Centre for International Finance and Regulation Market Microstructure Conference, Curtin University, European Financial Management Association Annual Meeting, Financial Management Association Annual Meeting, Financial Research Network Sydney Market Microstructure Meeting, Queensland University of Technology, and the Northern Finance Association Annual Conference for helpful comments. They also thank the Securities Industry Research Centre of Asia-Pacific for providing the data used for part of this study.