Short-term trend-following PnL collapsed post-2008 on small-tick futures due to HFT liquidity withdrawal breaking the market-impact feedback loop, while large-tick contracts remain unaffected.
arXiv preprint arXiv:2405.12768 , year=
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Is Trend Still Your Friend?: A Microstructural Account of the Demise of Short-Term Trend-Following
Short-term trend-following PnL collapsed post-2008 on small-tick futures due to HFT liquidity withdrawal breaking the market-impact feedback loop, while large-tick contracts remain unaffected.