摘要翻译：
本文利用2002年1月至2009年5月的股票价格和股票交易量的高频时间序列，研究了自2005年以来最为突出的高频交易的开始对美元交易量动态的影响是否明显。事实上，在几乎所有14只交易量很大的股票中，美元交易量的赫斯特指数都从前几年的高斯噪声上升到后几年的更自相似的动态。这种转变在时间上既与Reg NMS改革有关，允许高频交易蓬勃发展，也与交易平均规模下降有关，较小的交易显示出明显更高的自相似度。
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英文标题：
《Is high-frequency trading inducing changes in market microstructure and
  dynamics?》
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作者：
Reginald D. Smith
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最新提交年份：
2010
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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英文摘要：
  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.
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PDF链接：
https://arxiv.org/pdf/1006.5490