No Spread Shrink

Impact of HFT on Stock Market Liquidity

http://www.kellogg.northwestern.edu/faculty/murphy_d/murphy_kim_spread.pdf

What's The Duration Of An Average Trade?

http://www.telegraph.co.uk/finance/personalfinance/investing/9021946/How-long-does-the-average-share-holding-last-Just-22-seconds.html

Post-Flash Crash

SEC Gags, Tightens Leash On Exchanges A Bit

http://www.reuters.com/article/2012/01/12/us-sec-exchanges-leash-idUSTRE80B1YA20120112