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Albert S. Kyle is with the University of Maryland. Mehrdad Samadi is with Southern Methodist University. Tugkan Tuzun is with the Federal Reserve Board of Governors. We thank Robert Engle, Chester Spatt, Larry Harris, Cam Harvey, Bruno Biais, Simon Gervais, participants at the Western Finance Association Meeting, NBER Market Microstructure Meeting, CEPR Meeting, Q-Group Seminar, Wharton Conference in Honor of Marshall Blume, Princeton University Quant Trading Conference, University of Chicago Conference on Market Microstructure and High-Frequency Data, NYU-Courant Mathematical Finance Seminar, Columbia Conference on Quantitative Trading and Asset Management, and seminar participants at Columbia University, MIT, Boston University, Brandeis University, Boston College, UMass-Amherst, Oxford University, Cambridge University, the University of Maryland, Bank for International Settlements, Commodity Futures Trading Commission, Federal Reserve Board, and the International Monetary Fund, among others. The research presented in this paper was coauthored by Andrei Kirilenko, a former full-time CFTC employee, Albert Kyle, a former CFTC contractor who performed work under CFTC OCE contract (CFCE-09-CO-0147), Mehrdad Samadi, a former full-time CFTC employee and former CFTC contractor who performed work under CFTC OCE contracts (CFCE-11-CO-0122 and CFCE-13-CO-0061), and Tugkan Tuzun, a former CFTC contractor who performed work under CFTC OCE contract (CFCE-10-CO-0175). The Office of the Chief Economist and CFTC economists produce original research on a broad range of topics relevant to the CFTC's mandate to regulate commodity futures markets and commodity options markets, and its expanded mandate to regulate the swaps markets pursuant to the Dodd-Frank Wall Street Reform and Consumer Protection Act. The analyses and conclusions expressed in this paper are those of the authors and do not reflect the views of the Federal Reserve Board, Federal Reserve System, and their staff, the members of the Office of the Chief Economist, other CFTC staff, or the CFTC itself. The Internet Appendix may be found in the online version of this article."], 'affiliations': [{'raw_affiliation_string': "Andrei Kirilenko is with Imperial College London. Albert S. Kyle is with the University of Maryland. Mehrdad Samadi is with Southern Methodist University. Tugkan Tuzun is with the Federal Reserve Board of Governors. We thank Robert Engle, Chester Spatt, Larry Harris, Cam Harvey, Bruno Biais, Simon Gervais, participants at the Western Finance Association Meeting, NBER Market Microstructure Meeting, CEPR Meeting, Q-Group Seminar, Wharton Conference in Honor of Marshall Blume, Princeton University Quant Trading Conference, University of Chicago Conference on Market Microstructure and High-Frequency Data, NYU-Courant Mathematical Finance Seminar, Columbia Conference on Quantitative Trading and Asset Management, and seminar participants at Columbia University, MIT, Boston University, Brandeis University, Boston College, UMass-Amherst, Oxford University, Cambridge University, the University of Maryland, Bank for International Settlements, Commodity Futures Trading Commission, Federal Reserve Board, and the International Monetary Fund, among others. 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