Part of the point is that it is looking at historical data, and that most academic economics results look at historical data, and historical data does not, for

Part of the point is that it is looking at historical data, and that most academic economics results look at historical data, and historical data does not, for example (as I understand it), enable predictions of the crashes of 1929 or 2008. This paper is fundamentally talking about "normal" trading conditions, and the continuing danger is that results like this will be used to bolster the contention that HFT is in fact a good thing, whereas when the market crashes it might be an incredibly bad thing. I'm not saying it is or it isn't, I'm just saying that there seem to be a lot of assumptions that aren't being made explicit, those assumptions might not be valid, and when they're not valid, all predictions go out the window. Hence the quotation. I should add that perhaps this is no surprise. A claim I've seen made is that the information economists need to be accurate is fundamentally undiscoverable. Hence the article I lunk to earlier: http://news.ycombinator.com/item?id=1686077 http://news.ycombinator.com/item?id=1686077