Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies

<div>Spectral behavior of realized opportunity cost (ROC) time series is itself nonstationary. A 252-day (one market year) top-hat window <svg height="9.25202pt" id="M23" style="vertical-align:-3.29111pt" version="1.1" viewbox="-0.0498162 -5.96091 10.7014 9.25202" width="10.7014pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M471 456L444 459C426 433 414 430 388 430C324 430 270 434 216 434C103 434 51 374 23 338L43 317C96 366 146 380 221 375L154 109C149 86 147 68 147 52C147 4 168 -12 197 -12C240 -12 291 25 334 71L320 96C295 75 268 58 252 58C238 58 227 79 238 138C251 211 272 296 292 372C310 372 332 368 350 368C391 368 421 369 434 371C444 388 455 413 471 456Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,5.434,3.132)"><path d="M485 418C485 434 469 451 441 451C389 451 312 387 255 335C221 304 194 278 159 242H157L259 678C264 698 264 710 255 710C242 710 183 681 96 673L90 643L128 642C165 641 171 640 162 602L24 -5L31 -12C51 -4 81 4 110 9L145 181C154 195 180 220 205 242C233 170 263 106 291 53C318 1 335 -12 360 -12C383 -12 425 0 483 82L463 105C437 79 411 57 400 57C388 57 378 68 355 110C329 156 288 244 268 298C299 333 355 376 405 376C426 376 440 373 448 368C453 365 465 368 468 373C477 386 485 405 485 418Z"></path></g></svg> was rolled over each time series of ROC corresponding with a mutually exclusive market segment and the within-window power spectral density was computed. These power spectra are universally well-fit by a function of the form <span class="nowrap"><svg height="16.2017pt" id="M24" style="vertical-align:-3.943501pt" version="1.1" viewbox="-0.0498162 -12.2582 89.3719 16.2017" width="89.3719pt" xmlns="http://www.w3.org/2000/svg" xmlns:xlink="http://www.w3.org/1999/xlink"><g transform="matrix(.013,0,0,-0.013,0,0)"><path d="M600 480C600 590 528 650 384 650H143L137 622C222 614 225 607 210 531L130 127C113 41 106 36 23 28L17 0H294L300 28C204 36 195 42 212 127L243 284L314 263C327 263 339 263 352 264C465 271 600 337 600 480ZM508 481C508 351 402 304 329 304C289 304 265 311 250 317L295 559C302 594 310 606 323 611C335 616 350 619 367 619C455 619 508 573 508 481Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,8.026,-5.741)"><path d="M309 -142C211 -61 151 99 151 271S210 601 309 683L288 710C141 611 75 451 75 272V271C75 90 141 -72 288 -169L309 -142Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,11.284,-5.741)"><path d="M487 458L455 460C436 434 425 433 397 433C331 433 279 437 225 437C103 437 52 374 24 338L49 312C100 363 152 379 229 374C210 308 184 213 163 117C158 94 156 74 156 58C156 6 180 -12 211 -12C261 -12 313 27 348 68L332 99C307 76 285 64 267 64C252 64 236 86 250 148L301 373C320 373 344 369 364 369C399 369 435 370 450 372C458 386 470 411 487 458Z"></path></g><g transform="matrix(.0065,0,0,-0.0065,15.233,-3.641)"><path d="M490 420C490 437 473 454 444 454C390 454 313 392 258 339L163 247H161L261 676C266 696 264 708 257 708C244 708 183 678 96 672L87 638L131 637C164 636 169 635 161 599L25 -4L33 -12C50 -3 84 5 114 10C127 83 135 123 149 182C155 197 180 221 206 243C235 170 266 105 293 53C320 2 335 -12 363 -12C385 -12 427 -2 489 83L466 109C440 83 414 59 402 59C391 59 382 70 359 113C333 159 293 247 272 296C301 333 360 376 407 376C428 376 444 375 451 369C457 365 470 365 474 372C482 387 490 408 490 420Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,19.092,-5.741)"><path d="M283 271C283 451 220 610 70 710L48 683C146 603 207 443 207 271S149 -59 48 -142L70 -169C220 -67 283 90 283 271Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,6.656,3.784)"><path d="M545 403C545 425 527 451 498 451C448 451 400 404 312 286L290 341C262 412 246 451 219 451C182 451 138 404 92 345L112 323C152 368 169 378 181 378C192 378 201 359 216 321L257 214C184 115 142 69 113 69C102 69 93 73 88 79S78 89 68 89C47 89 24 61 24 40C24 8 49 -12 75 -12C125 -12 175 31 271 175L312 64C330 15 357 -12 382 -12C421 -12 475 35 515 98L496 121C466 88 439 62 420 62C402 62 384 92 363 147L325 247C349 280 374 309 397 333C422 361 446 381 462 381C471 381 481 374 488 366C493 360 499 357 505 357C521 357 545 380 545 403Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,11.834,3.784)"><path d="M545 403C545 425 527 451 498 451C448 451 400 404 312 286L290 341C262 412 246 451 219 451C182 451 138 404 92 345L112 323C152 368 169 378 181 378C192 378 201 359 216 321L257 214C184 115 142 69 113 69C102 69 93 73 88 79S78 89 68 89C47 89 24 61 24 40C24 8 49 -12 75 -12C125 -12 175 31 271 175L312 64C330 15 357 -12 382 -12C421 -12 475 35 515 98L496 121C466 88 439 62 420 62C402 62 384 92 363 147L325 247C349 280 374 309 397 333C422 361 446 381 462 381C471 381 481 374 488 366C493 360 499 357 505 357C521 357 545 380 545 403Z"></path></g><g transform="matrix(.013,0,0,-0.013,22.887,0)"><path d="M300 -147C201 -63 143 98 143 270S200 602 300 686L282 710C136 610 70 450 70 271V270C70 89 136 -72 282 -170L300 -147Z"></path></g><g transform="matrix(.013,0,0,-0.013,27.385,0)"><path d="M615 290C615 392 563 448 529 448C511 448 491 441 484 434L483 425C518 400 546 349 546 273C546 158 504 46 417 46C381 46 356 77 356 142C356 184 380 293 392 334L387 340L307 323C305 288 296 228 287 188C265 94 221 52 180 52C144 52 112 89 112 171C112 278 164 372 241 430L226 454C106 394 23 288 23 155C23 40 79 -12 139 -12C184 -12 245 32 285 85C292 31 322 -12 376 -12C423 -12 470 18 501 45C570 104 615 184 615 290Z"></path></g><g transform="matrix(.013,0,0,-0.013,35.68,0)"><path d="M275 270C275 450 212 609 64 710L45 686C145 604 203 442 203 270S147 -63 45 -147L64 -170C213 -68 275 89 275 270Z"></path></g><g transform="matrix(.013,0,0,-0.013,43.81,0)"><path d="M548 311L516 323C497 274 452 240 400 240C372 240 342 260 316 278C277 305 235 330 188 330C116 330 66 268 40 199L72 187C91 236 136 270 188 270C216 270 246 250 272 232C311 205 353 180 400 180C472 180 522 242 548 311Z"></path></g><g transform="matrix(.013,0,0,-0.013,55.072,0)"><path d="M615 290C615 392 563 448 529 448C511 448 491 441 484 434L483 425C518 400 546 349 546 273C546 158 504 46 417 46C381 46 356 77 356 142C356 184 380 293 392 334L387 340L307 323C305 288 296 228 287 188C265 94 221 52 180 52C144 52 112 89 112 171C112 278 164 372 241 430L226 454C106 394 23 288 23 155C23 40 79 -12 139 -12C184 -12 245 32 285 85C292 31 322 -12 376 -12C423 -12 470 18 501 45C570 104 615 184 615 290Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,63.368,-5.741)"><path d="M556 236V289H56V236H556Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,68.928,-5.741)"><path d="M558 106L533 129C501 84 476 67 464 67C446 67 435 116 414 239C457 297 508 367 550 440L539 451L484 438C458 390 429 338 404 300H402C375 407 351 451 285 451C168 451 24 312 24 153C24 56 66 -12 132 -12C206 -12 284 64 345 156H347C367 24 386 -12 422 -12C457 -12 503 7 558 106ZM338 206C272 99 215 56 173 56C140 56 116 96 116 170C116 303 194 405 255 405C304 405 324 299 338 206Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,74.225,-5.741)"><path d="M309 -142C211 -61 151 99 151 271S210 601 309 683L288 710C141 611 75 451 75 272V271C75 90 141 -72 288 -169L309 -142Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,77.483,-5.741)"><path d="M487 458L455 460C436 434 425 433 397 433C331 433 279 437 225 437C103 437 52 374 24 338L49 312C100 363 152 379 229 374C210 308 184 213 163 117C158 94 156 74 156 58C156 6 180 -12 211 -12C261 -12 313 27 348 68L332 99C307 76 285 64 267 64C252 64 236 86 250 148L301 373C320 373 344 369 364 369C399 369 435 370 450 372C458 386 470 411 487 458Z"></path></g><g transform="matrix(.0065,0,0,-0.0065,81.432,-3.641)"><path d="M490 420C490 437 473 454 444 454C390 454 313 392 258 339L163 247H161L261 676C266 696 264 708 257 708C244 708 183 678 96 672L87 638L131 637C164 636 169 635 161 599L25 -4L33 -12C50 -3 84 5 114 10C127 83 135 123 149 182C155 197 180 221 206 243C235 170 266 105 293 53C320 2 335 -12 363 -12C385 -12 427 -2 489 83L466 109C440 83 414 59 402 59C391 59 382 70 359 113C333 159 293 247 272 296C301 333 360 376 407 376C428 376 444 375 451 369C457 365 470 365 474 372C482 387 490 408 490 420Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,85.29,-5.741)"><path d="M283 271C283 451 220 610 70 710L48 683C146 603 207 443 207 271S149 -59 48 -142L70 -169C220 -67 283 90 283 271Z"></path></g></svg>.</span></div>

Complexity

fig3

Figure 3

Figure 3: Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies 