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

Table 3

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

Dep. variable	Forward volatility		R-squared		0.392
Model	OLS		Adj. R-squared		0.390
F-statistic	255.9		Prob (F-statistic)		2.10e − 211
	Coef.	Std. error	t		[0.025]	[0.975]
Intercept	0.0002	0.018	0.011	0.991	−0.034	0.035
Differing trades	0.5046	0.089	5.686	<0.001	0.331	0.679
Count	0.5710	0.021	27.711	<0.001	0.531	0.611
Duration	0.0035	0.018	0.192	0.847	−0.032	0.039
Differing traded value	−0.6402	0.085	−7.520	<0.001	−0.807	−0.473
Venue	−0.1498	0.019	−8.032	<0.001	−0.186	−0.113