Worth reading on "market impact model" Deutsche Bank presentation in MIM http://www.dbquant.com/Presentations/Berlin200812.pdf - explains the purpose and methodology behind reducing market impact through HFT
Exploratory Trading - paper that caused SEC to shut down access to their CRSP data http://www.scribd.com/doc/130086643/Exploratory-Trading-Job-Market-Paper
Link to the CS doc "High Frequency Trading - Measurement, Detection and Response http://www.scribd.com/doc/116761218/CS-HFT-DETECTION
Understand that HFT started out with good intentions to split large orders up. Since then it rapidly devolved into a snatch and grab.
Trading sub millisecond there is ZERO change any regulatory body will reconcile trades. Inventory control is a key to it IMO, and it is non-existent.
It means technical analysis using even rudimentary mathematic quant methods is valuable to any trader/investor.
