Do you have some citation for that statement? Is there something that makes trading every millisecond much more efficient than trading, say, every tenth of a second?
For example traders in equities can participate in "on close" auctions if they prefer to do so. No millisecond guessing, no bid/ask at all, pure double side auction. Yet only ~10% of the volume goes there.
You can open up your own ECN and offer fixed auctions every minute if you think this will attract people who feel cheated by HFT.
