From the abstract:
This paper characterizes the trading strategy of a large high-frequency trader (HFT). The HFT incurs a loss on its inventory but earns a profit on the bid-ask spread. Sharpe ratio calculations show that performance is very sensitive to cost of capital assumptions. The HFT employs a cross-market strategy as half of its trades materialize on a large incumbent market and the other half on a small, high-growth entrant market. Trade participation rates are 8.1% and 64.4%, respectively. In both markets, about four out of five of its trades are passive, i.e., its price quote was consumed by others.
“High Frequency Trading and the New-Market Makers.” Albert J. Menkveld. Dec. 2010 VU University Amsterdam; Tinbergen Institute – Tinbergen Institute Amsterdam (TIA)