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by keyle 3491 days ago
That volatility is deadly to the retail speculators. They get wiped out, off the markets, by this 'false' liquidity, which literally wiggles them out.
1 comments

As someone who works in the industry I've found that analogies are distinctly unhelpful. That's not really unique to finance [0]. Can you explain what you mean by "literally wiggles them out"? I cannot say that I have observed a phenomenon that I would describe with those words, but I'm always interested in learning more.

[0] http://dl.acm.org/citation.cfm?id=801816

That increase in volatity pushes prices up and down without real logic behind, in the short term, causing the small retail pundits to hit their conservative stop losses and take them out of the market. That's what I meant by "wiggle them out". Does that make sense?
Thank you for clarifying. You're talking about retail speculators getting "stopped out".

Do you have a reference showing that is happening with increasing frequency due to HFTs? It runs counter to my intuition because HFTs lead to less "gappy" markets and markets that respond to news events more quickly. For the purposes of this comment I will assume that this is true.

Is the amount that retail speculators lose to increased frequency of getting stopped out greater than the amount they gain from tighter markets? I don't have a clear opinion on this.

Is the net loss to retail speculators greater than the net gain to all other market participants? I suspect not because retail speculators are such a tiny portion of the market.

If this kind of volatility has increased with HFTs, it's caused by an overly small tick size. Markets will go back to how they were if you increase the tick size back to 1/16 of a dollar. This wouldn't help price takers other than retail speculators, but that's how you fix it if it really is a problem.

The terms people are likely to understand are "short squeeze" and "long squeeze".
Another way to say that is the market allows people to do things they don't really understand the consequences of, which can be expensive.