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

Figure 4

Autocorrelation (a) and cross-correlation (b) decay functions for realized opportunity cost (ROC) computed over three disjoint sets of trading symbols. ROC has a strong positive autocorrelation for hundreds of trading days, and two of the three sets of trading symbols exhibit similar cross-correlation behavior.

(a)

(b)