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LIQUIDMETRIX VOLATILITY INDICATOR
The LiquidMetrix Volatility Indicator provides a
measure of high-frequency market volatility based
upon 30 second price movements.
Based on fragmented European stocks
Volatility (BPS/ 30sec)
Q3 2017 1.03
Q4 2017 0.96
Change -0.07
2.8
2.6
2.4
2.2
2
1.8
1.6
1.4
1.2
1
0.8
High frequency price volatility, which is often a signifi-
cant determinant for spreads and resting liquidity, has
continued to decrease, and the average for the latest
period continues the downward trend
The sharp decreases in market price volatility in the
last four quarters have coincided with a shift of trading
activity from MTF platforms to primary venues, although
there was a slight increase during the last few weeks of
the period.
LiquidMetrix analyses consolidated performance figures for stocks on major European indices and the changes from
the previous quarter.
The charts and figures above are based upon LiquidMetrix’s unique benchmarking methodology that provides accu-
rate measurements of trends in market movements. Trading Volumes on Lit markets including auctions are taken
into account, as well as dark trading on the major MTFs.
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