There is an article on C16 of today’s WSJ: Small-Caps Are Missing Out On High-Frequency Trading Benefits(http://online.wsj.com/article/SB125306075442314147.html?mod=googlenews_wsj). It is a well written article that laments that the liquidity HFT provides in large caps is absent in small caps, because HFT players don’t play there.
While we would agree that the large cap space is in fact a playground for at least one style of HFT (rebate-driven), and that liquidity is added by HFT in the top 100 large cap stocks, and spreads are tightened as a result in the top 100 large cap stocks, we agree with the NYSE study
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