Research Article
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 |
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