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Using high-frequency time series of stock prices and share volumes sizes fromJanuary 2002-May 2009, this paper investigates whether the effects of the onsetof high-frequency trading, most prominent since 2005, are apparent in thedynamics of the dollar traded volume. Indeed it is found in almost all of 14heavily traded stocks, that there has been an increase in the Hurst exponent ofdollar traded volume from Gaussian noise in the earlier years to moreself-similar dynamics in later years. This shift is linked both temporally tothe Reg NMS reforms allowing high-frequency trading to flourish as well as tothe declining average size of trades with smaller trades showing markedlyhigher degrees of self-similarity.

Is High-Frequency Trading Inducing Changes in Market Microstructure and Dynamics?