[rdlowrey]

I tend to agree with your position. The fundamentals of individual microeconomic decision-making are much more sound IMHO than their extrapolation to large-scale macroeconomic systems. At the macro scale I believe the system is far more complex than we can correctly model with anything but rough approximation. Otherwise, we'd already know exactly when/why/how future recessions and booms would occur. The High Frequency Trading question, though, exists entirely within the micro sphere where the math is rock-solid. As such, I've yet to encounter a logical refutation for its use.

[nasmorn]

This is one of my favorite papers explaining possible problems with arbitrage. http://www.math.mcmaster.ca/~grasselli/ShleiferVishny97.pdf It is not directly applicable to HFT though.