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

Figure 7

(a) Longitudinal dynamics in the mean and median dislocation duration. While the mean dislocation duration has remained relatively constant, the median has gradually decreased. The lower grid shows distributions of quantile and moment-based statistics over dislocation durations, for each calendar year and multiple disjoint sets of trading symbols. Distributions of quantile-based statistics (25th, 50th, and 75th percentiles) of dislocation duration declined by an order of magnitude over the study period, universally across the different sets of trading symbols, as displayed in the insets in (b). These two observations indicate that the “typical” dislocation duration has decreased, while the incidence of rare, long duration dislocations has increased.