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

Table 2

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

Dep. variable	Midvolatility		R-squared		0.561
Model	OLS		Adj. R-squared		0.560
F-statistic	507.2		Prob (F-statistic)		0.00
	Coef.	Std. error	t		[0.025]	[0.975]
Intercept	−0.0005	0.015	−0.031	0.976	−0.030	0.029
Differing trades	1.0034	0.075	13.304	<0.001	0.856	1.151
Count	0.638	0.018	36.198	<0.001	0.599	0.668
Duration	0.0254	0.015	1.638	0.102	−0.005	0.056
Differing traded value	−1.0967	0.072	−15.161	<0.001	−1.239	−0.955
Venue	−0.1172	0.016	−7.395	<0.001	−0.148	−0.086