NATHANIEL POPPER and CHRISTOPHER LEONARD write:
The chief economist at the Commodity Futures Trading Commission, Andrei Kirilenko, reports in a coming study that high-frequency traders make an average profit of as much as $5.05 each time they go up against small traders buying and selling one of the most widely used financial contracts [E-mini S&P 500 Futures].
via High-Speed Traders Profit at Expense of Ordinary Investors, a Study Says – NYTimes.com.