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LIQUIDMETRIX VOLATILITY INDICATOR
Volatility (BPS/ 30sec)
Q1 2019 1.22
Q2 2019 1.35
Q3 2019 1.44
The LiquidMetrix Volatility Indicator provides a
measure of high-frequency market volatility based
upon 30 second price movements. In Q3 we observe
an increase in volatility over the period linked to the
uncertainty in the market.
Based on fragmented European stocks
High frequency price volatility, which is often a
significant determinant for spreads and resting liquidity,
reduced slightly in Q1 reversing the trend in the previous
quarter.
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 accurate 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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