Before revision:   See e.g. Lachapelle et al LLLL and the references therein.
After revision:  This is because high frequency trading often leads to intensive trading taking place on close to infinitesimal lengths of time, which in the limit corresponds to trading on time sets of measure 0. This may in turn lead to a singular drift in the pricing dynamics. See e.g. Lachapelle et al LLLL and the references therein.