Highlights
- August showed marked increases in quote volume and volatility over that observed in July especially during US market hours.
- August was analyzed over two distinct periods relative to July. The first half of the month exhibited both elevated volatility and volume, but the second half showed increases in volatility only.
- Intraday volatility mostly increased proportionally to the previous month.
- Though HFT activity increased overall in August, a sizable relative decrease was observed in early hours trading. High volatility and depressed HFT activity at the beginning of the trading day appear to be correlated.
Click here to download the full report.