  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.
