High-frequency traders (HFTs) compete primarily on speed or latency, including vying for computer locations that are physically close to the exchanges or servers where they operate. Various estimates indicate that more than half of all trading volume in U.S. equity markets is already attributable to HFTs, a level sufficient to warrant some scrutiny. As a result, HFTs are at the center of policy debates and controversies. Do HFTs tend to supply liquidity to the market on average, but in fact withdraw from the market when the market becomes more volatile (i.e., when that liquidity would be most needed)? Are they increasing systemic risk and creating a nonlevel playing field? Using unique datasets that identify each counterparty to a trade, Professor Ait-Sahalia will document the comparative influence of high- and low-frequency traders on the price process, and the influence of the price process on the trading of high frequency compared to low frequency traders (LFTs).