Using tick data identifying high-frequency traders (HFTs), this paper studies the trading profits and liquidity provision of HFTs during large price shocks. Previous studies report mixed evidence on whether HFTs provide or take liquidity in such events. Empirical findings in this paper suggest that relative tick size matters: HFTs provide liquidity when the shock is idiosyncratic and the relative tick size is large, but in this case, they do not earn profits from trading. On average, HFTs can earn profits against non-HFTs because they aggressively take liquidity and trade in the direction of the shocks for stocks of small relative tick sizes.

使用识别高频交易者 (HFT) 的逐笔报价数据，本文研究了在大价格冲击期间 HFT 的交易利润和流动性提供。先前的研究报告了关于高频交易是否在此类事件中提供或获取流动性的混合证据。本文的实证研究结果表明，相对分时大小很重要：当冲击是特殊的且相对分时大小较大时，高频交易提供流动性，但在这种情况下，它们不会从交易中获利。平均而言，高频交易相对于非高频交易可以赚取利润，因为它们积极地利用流动性，并在相对较小的跳动规模的股票的冲击方向上进行交易。