Spreads, depths and trading activity for US equities are studied over an extended time sample. Daily changes in market averages of liquidity and trading activity are highly volatile, negatively serially correlated and influenced by a variety of factors.
Edward Dobson A brief but thorough and informative introduction to spread trading in futures. Material on this topic is scarce, and there has long been a need for an introductory primer like this for those interested in learning about spread trading. Edward Dobson