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

<div>(a) Time series of average duration <svg height="9.49473pt" id="M36" style="vertical-align:-0.2063999pt" version="1.1" viewbox="-0.0498162 -9.28833 7.34169 9.49473" width="7.34169pt" 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="M530 686C535 705 530 712 521 712C504 712 448 684 359 674L358 648H393C437 648 439 646 429 593L400 435C372 447 345 448 332 448C286 448 194 414 144 373C68 311 23 203 23 111C23 26 57 -12 91 -12C120 -12 147 3 188 29C227 54 290 102 341 170H343L322 71C308 6 320 -12 341 -12C373 -12 442 27 501 96L485 120C455 91 422 67 408 67C401 67 401 76 404 91C440 294 479 473 530 686ZM387 375L355 241C326 187 200 53 142 53C126 53 109 73 109 130C109 217 154 337 218 381C240 396 265 404 297 404S372 390 387 375Z"></path></g></svg> and counts <svg height="6.1673pt" id="M37" style="vertical-align:-0.2063904pt" version="1.1" viewbox="-0.0498162 -5.96091 5.39742 6.1673" width="5.39742pt" 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="M383 397C383 424 344 448 299 448C244 448 172 409 132 375C66 319 23 227 23 146C23 42 74 -12 146 -12C208 -12 298 30 359 103L343 124C315 95 248 48 192 48C145 48 111 85 111 163C111 228 129 294 151 330C171 363 201 401 241 401C275 401 302 384 325 356C332 347 339 344 348 348C373 360 383 381 383 397Z"></path></g></svg> of dislocation segments, which are computed and averaged across trading symbols for each day in the study period. (b, c) Histograms that capture the distribution of values assumed by the time series depicted in (a). (d) Two additional time series derived from the duration and count time series that provide an indicator for the intensity of information asymmetry that may have occurred on a particular trading day. These are defined as <svg height="12.4698pt" id="M38" style="vertical-align:-3.18147pt" version="1.1" viewbox="-0.0498162 -9.28833 87.0834 12.4698" width="87.0834pt" 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="M63 95C70 84 85 83 93 83C121 83 136 106 136 131C136 160 113 179 85 179C52 179 26 150 26 107C26 41 92 -15 199 -15C302 -15 399 18 484 106C535 159 576 245 617 333C684 348 739 389 774 457L758 467C722 411 681 381 633 368C679 468 726 563 779 603C807 603 888 604 888 655C888 667 875 675 859 675C848 675 818 671 783 648C758 651 718 656 665 656C605 656 537 649 482 616C434 585 396 536 396 471C396 392 448 345 520 330C511 311 502 292 493 271C400 61 306 16 181 16C110 16 61 68 61 95H63ZM729 601C648 547 595 474 536 362C465 370 437 423 437 462C437 518 477 560 522 580S625 604 676 604C696 604 714 604 729 603V601Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,11.661,3.132)"><path d="M389 0V32C297 38 291 46 291 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146 -12C208 -12 298 30 359 103L343 124C315 95 248 48 192 48C145 48 111 85 111 163C111 228 129 294 151 330C171 363 201 401 241 401C275 401 302 384 325 356C332 347 339 344 348 348C373 360 383 381 383 397Z"></path></g><g transform="matrix(.013,0,0,-0.013,49.278,0)"><path d="M226 -163V703H56V676C162 667 165 662 165 584V-43C165 -122 162 -126 56 -136V-163H226Z"></path></g><g transform="matrix(.013,0,0,-0.013,56.668,0)"><path d="M170 255C170 288 146 313 114 313S58 288 58 255C58 221 82 198 114 198S170 221 170 255Z"></path></g><g transform="matrix(.013,0,0,-0.013,62.538,0)"><path d="M593 650H142L136 622C219 616 224 611 209 531L130 120C114 39 108 34 23 28L17 0H501C518 32 557 130 568 158L540 169C519 132 495 93 469 70C439 43 409 35 332 35C272 35 241 37 225 50C211 61 211 89 222 149L253 320H350C441 320 443 312 441 239H471L510 434H481C455 366 448 358 360 358H260L303 572C311 613 312 615 348 615H431C509 615 522 603 532 581C544 555 546 531 545 491L574 493C583 555 592 631 593 650Z"></path></g><g transform="matrix(.013,0,0,-0.013,70.546,0)"><path d="M290 -163V-135C183 -126 181 -122 181 -44V583C181 662 184 666 290 675V703H120V-163H290Z"></path></g><g transform="matrix(.013,0,0,-0.013,75.031,0)"><path d="M530 686C535 705 530 712 521 712C504 712 448 684 359 674L358 648H393C437 648 439 646 429 593L400 435C372 447 345 448 332 448C286 448 194 414 144 373C68 311 23 203 23 111C23 26 57 -12 91 -12C120 -12 147 3 188 29C227 54 290 102 341 170H343L322 71C308 6 320 -12 341 -12C373 -12 442 27 501 96L485 120C455 91 422 67 408 67C401 67 401 76 404 91C440 294 479 473 530 686ZM387 375L355 241C326 187 200 53 142 53C126 53 109 73 109 130C109 217 154 337 218 381C240 396 265 404 297 404S372 390 387 375Z"></path></g><g transform="matrix(.013,0,0,-0.013,82.246,0)"><path d="M226 -163V703H56V676C162 667 165 662 165 584V-43C165 -122 162 -126 56 -136V-163H226Z"></path></g></svg> and <span class="nowrap"><svg height="12.4698pt" id="M39" style="vertical-align:-3.18147pt" version="1.1" viewbox="-0.0498162 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565C277 565 321 517 321 435C321 348 258 270 195 195C146 137 88 81 33 26V0H411C423 44 433 88 446 135L414 144Z"></path></g><g transform="matrix(.013,0,0,-0.013,20.239,0)"><path d="M535 323V373H52V323H535ZM535 138V188H52V138H535Z"></path></g><g transform="matrix(.013,0,0,-0.013,31.502,0)"><path d="M593 650H142L136 622C219 616 224 611 209 531L130 120C114 39 108 34 23 28L17 0H501C518 32 557 130 568 158L540 169C519 132 495 93 469 70C439 43 409 35 332 35C272 35 241 37 225 50C211 61 211 89 222 149L253 320H350C441 320 443 312 441 239H471L510 434H481C455 366 448 358 360 358H260L303 572C311 613 312 615 348 615H431C509 615 522 603 532 581C544 555 546 531 545 491L574 493C583 555 592 631 593 650Z"></path></g><g transform="matrix(.013,0,0,-0.013,39.51,0)"><path d="M290 -163V-135C183 -126 181 -122 181 -44V583C181 662 184 666 290 675V703H120V-163H290Z"></path></g><g transform="matrix(.013,0,0,-0.013,43.995,0)"><path d="M383 397C383 424 344 448 299 448C244 448 172 409 132 375C66 319 23 227 23 146C23 42 74 -12 146 -12C208 -12 298 30 359 103L343 124C315 95 248 48 192 48C145 48 111 85 111 163C111 228 129 294 151 330C171 363 201 401 241 401C275 401 302 384 325 356C332 347 339 344 348 348C373 360 383 381 383 397Z"></path></g><g transform="matrix(.013,0,0,-0.013,52.183,0)"><path d="M170 255C170 288 146 313 114 313S58 288 58 255C58 221 82 198 114 198S170 221 170 255Z"></path></g><g transform="matrix(.013,0,0,-0.013,58.052,0)"><path d="M530 686C535 705 530 712 521 712C504 712 448 684 359 674L358 648H393C437 648 439 646 429 593L400 435C372 447 345 448 332 448C286 448 194 414 144 373C68 311 23 203 23 111C23 26 57 -12 91 -12C120 -12 147 3 188 29C227 54 290 102 341 170H343L322 71C308 6 320 -12 341 -12C373 -12 442 27 501 96L485 120C455 91 422 67 408 67C401 67 401 76 404 91C440 294 479 473 530 686ZM387 375L355 241C326 187 200 53 142 53C126 53 109 73 109 130C109 217 154 337 218 381C240 396 265 404 297 404S372 390 387 375Z"></path></g><g transform="matrix(.013,0,0,-0.013,65.268,0)"><path d="M226 -163V703H56V676C162 667 165 662 165 584V-43C165 -122 162 -126 56 -136V-163H226Z"></path></g></svg>.</span> (e) The correlation between <svg height="12.0392pt" id="M40" style="vertical-align:-3.18147pt" version="1.1" viewbox="-0.0498162 -8.85773 16.7508 12.0392" width="16.7508pt" 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="M63 95C70 84 85 83 93 83C121 83 136 106 136 131C136 160 113 179 85 179C52 179 26 150 26 107C26 41 92 -15 199 -15C302 -15 399 18 484 106C535 159 576 245 617 333C684 348 739 389 774 457L758 467C722 411 681 381 633 368C679 468 726 563 779 603C807 603 888 604 888 655C888 667 875 675 859 675C848 675 818 671 783 648C758 651 718 656 665 656C605 656 537 649 482 616C434 585 396 536 396 471C396 392 448 345 520 330C511 311 502 292 493 271C400 61 306 16 181 16C110 16 61 68 61 95H63ZM729 601C648 547 595 474 536 362C465 370 437 423 437 462C437 518 477 560 522 580S625 604 676 604C696 604 714 604 729 603V601Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,11.661,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g></svg> and two measures of volatility. (f) The distribution of total dislocated minutes over trading symbols. (g–i) Joint distributions of forward volatility, VIX, and <svg height="12.0392pt" id="M41" style="vertical-align:-3.18147pt" version="1.1" viewbox="-0.0498162 -8.85773 16.7508 12.0392" width="16.7508pt" 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="M63 95C70 84 85 83 93 83C121 83 136 106 136 131C136 160 113 179 85 179C52 179 26 150 26 107C26 41 92 -15 199 -15C302 -15 399 18 484 106C535 159 576 245 617 333C684 348 739 389 774 457L758 467C722 411 681 381 633 368C679 468 726 563 779 603C807 603 888 604 888 655C888 667 875 675 859 675C848 675 818 671 783 648C758 651 718 656 665 656C605 656 537 649 482 616C434 585 396 536 396 471C396 392 448 345 520 330C511 311 502 292 493 271C400 61 306 16 181 16C110 16 61 68 61 95H63ZM729 601C648 547 595 474 536 362C465 370 437 423 437 462C437 518 477 560 522 580S625 604 676 604C696 604 714 604 729 603V601Z"></path></g><g transform="matrix(.0091,0,0,-0.0091,11.661,3.132)"><path d="M389 0V32C297 38 291 46 291 118V635C234 613 175 595 109 583V556L161 554C203 552 207 547 207 497V118C207 46 201 38 110 32V0H389Z"></path></g></svg> along with marginal distributions of each statistic, which are well characterized by the lognormal probability density function.</div>

Complexity

fig5

Figure 5

Figure 5: Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies 