Statistics is a funny field – you can generally construct well-reasoned, well-supported arguments on both sides of an issue. I have found a paucity of independent, objective writing on the subject of market quality, and recently found myself researching what studies have been performed. Reviewing the literature on market quality, it is clear that nearly all studies of equity market quality have been done by either:

1. HFT firms
2. Exchanges (whose best customers are HFT firms), or
3. Academics sponsored by HFT firms or exchanges.

Part of this problem is the data; it’s simply immense. In fact, it has helped to coin the term “Big Data.” And you know it’s bad when a bunch of computer scientists call something “big.”

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