  In an extended Kyle's model, the interactions between a large informed trader
and a high-frequency trader (HFT) who can anticipate the former's incoming
order are studied. We find that, in equilibrium, HFT may play the role of
Small-IT or Round-Tripper: both of them trade in the same direction as IT in
advance, but when IT's order arrives, Small-IT continues to take liquidity
away, while Round-Tripper supplies liquidity back. So Small-IT always harms IT,
while Round-Tripper may benefit her. What's more, with an anticipatory HFT,
normal-speed small uninformed traders suffer less and price discovery is
accelerated.
