In this paper we re-analyse the transition from sure to probabilistic sniping as explored in Menkveld and Zoican 14 . In that paper, the authors introduce a stylized version of a competitive game in which high frequency traders (HFTs) interact with each other and liquidity traders. The authors  show that risk aversion plays an important role in the transition from sure to mixed (or probabilistic) sniping. In this paper, we re-interpret and extend these conclusions in the context of repeated games and highlight some differences in results. In particular, we identify situations in which probabilistic sniping is genuinely profitable that are qualitatively different from the ones obtained in 14 . Keywords: algorithmic trading, sniping, electronic exchange, high-frequency traders, Nash equilibrium, repeated games, bandits , subgame-perfect equilibrium  , transition
In this paper we extend the investigation into the transition from sure to probabilistic sniping as introduced in Menkveld and Zoican \mbox{%DIFAUXCMD mz2017 . In that paper, the authors introduce a stylized version of a competitive game in which high frequency traders (HFTs) interact with each other and liquidity traders. The authors then show that risk aversion plays an important role in the transition from sure to mixed (or probabilistic) sniping. In this paper, we re-interpret and extend these conclusions in the context of repeated games and highlight some differences in results. In particular, we identify situations in which probabilistic sniping is genuinely profitable that are qualitatively different from the ones obtained in \mbox{%DIFAUXCMD mz2017 Keywords: algorithmic trading, bandits, high-frequency exchange, Nash equilibrium, repeated games, sniping , subgame-perfect equilibrium , Sequential probability ratio , transition
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re-analyse the
extend the investigation into the
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explored
introduced
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14
\mbox{%DIFAUXCMD mz2017
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then
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14
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.
\mbox{%DIFAUXCMD mz2017
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sniping, electronic exchange, high-frequency traders,
bandits, high-frequency exchange,
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bandits
sniping
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, Sequential probability ratio