"The only fully adequate data currently available for academic research on high- frequency trading come from regulatory records that the Chicago Mercantile Exchange provides to the U.S. Commodity Futures Trading Commission"
"If the HFT places an aggressive order in the first period, he effectively “buys” supply information that he can use in the second period to better decide whether he should place another aggressive order. Consequently, the HFT may find it optimal in the first period to place an order that he expects to be unprofitable, since the information that the order generates will be valuable in the second period"
As this form of trading continues to rapidly engulf the structure of the financial market, we deviate further from the fundamental analysis of price setting to the time period analysis of price setting. The problem now becomes that the time periods used are beyond any human processing ability and our ability to intervene is null, therefore introducing a new risk to the market, that of the well funded automated market maker introducing say their test algorithm in place of their real-world algorithm.
And in a world were every exchange as its own personal, non-standardized Retail Liquidity Program, chaos is introduced thanks to the latency of technology and the SEC's admitted inability to enforce laws because of this latency which exists upon the boundaries of the speed of light.
Now that the speed of light is annoying to our market makers, the pricing of all our real world assets is left to a few quants and an equity market that behaviors in a universe inaccessible to us when it is in operation.
The metaphysical nature of this reminds of the Eddie Vedder song Society (Paper embedded after the video):