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

Table 1

Linear regression diagnostics for the VIX as a function of trade statistics, dislocation statistics, and venue fluctuation.

Dep. variable	VIX		R-squared		0.738
Model	OLS		Adj. R-squared		0.738
F-statistic	1121.0		Prob (F-statistic)		0.00
	Coef.	Std. error	t		[0.025]	[0.975]
Intercept	−0.0007	0.011	−0.064	0.949	−0.023	0.022
Differing trades	1.3024	0.058	22.378	<0.001	1.188	1.417
Count	0.6921	0.014	51.221	<0.001	0.666	0.719
Duration	0.0551	0.012	4.616	<0.001	0.032	0.079
Differing traded value	−1.4980	0.056	−26.834	<0.001	−1.607	−1.389
Venue	−0.1900	0.012	−15.532	<0.001	−0.214	−0.166