[jpmattia]

> This is a sincere question, because I really do not understand how HFT "creates liquidity" when they are just buying low and selling high.

It's a complicated issue, but I think the simplified version is: Reduced liquidity results in larger volatility.

Shorting is an easier example to look at: When a stock drops, folks with short positions cover their bets ("I've made enough money off this position, it may be near the maximum I'll make") they buy. Others notice that there is buying interest etc. However, when shorting is banned, those buys do not arrive and you would intuitively expect the stock to drop further before buyers believe there is money to be made. You could witness this dynamic during 2008-9, when the SEC banned shorting of banks.