2010/06/28 by Reginald D. Smith, Smith, Reginald D.
Economics, Econometrics and Finance · #Complex Systems and Time Series Analysis #FOS: Economics and business #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Statistical Finance (q-fin.ST) #Trading and Market Microstructure (q-fin.TR) #q-fin.ST #q-fin.TR
paper · pdf · doi:10.48550/arxiv.1006.5490
21 pages, 10 figures, 2 tables; v2 corrected small omission (tilde) in Eq. 8; v3 - changed NWSA to NWS (News Corp), explicitly stated TAQ sale condition codes (and added a few) and trade correction indicator exclusions. No substantive changes to graphs or conclusions
openalex publication_date 2010/06/28 · arxiv created 2010/09/21 · arxiv updated 2010/09/22 · openalex created_date 2022/10/02 · openalex updated_date 2026/07/28
Using high-frequency time series of stock prices and share volumes sizes from January 2002-May 2009, this paper investigates whether the effects of the onset of high-frequency trading, most prominent since 2005, are apparent in the dynamics of the dollar traded volume. Indeed it is found in almost all of 14 heavily traded stocks, that there has been an increase in the Hurst exponent of dollar traded volume from Gaussian noise in the earlier years to more self-similar dynamics in later years. This shift is linked both temporally to the Reg NMS reforms allowing high-frequency trading to flourish as well as to the declining average size of trades with smaller trades showing markedly higher degrees of self-similarity.