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

Table 4

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

Dep. variable	ROC		R-squared		0.796
Model	OLS		Adj. R-squared		0.795
F-statistic	1549.0		Prob (F-statistic)		0.00
	Coef.	Std. error	t		[0.025]	[0.975]
Intercept	−1.138e − 15	0.010	−1.12e − 13	1.000	−0.020	0.020
Differing trades	0.6078	0.051	11.836	<0.001	0.507	0.709
Count	0.0994	0.012	8.341	<0.001	0.076	0.123
Duration	0.1199	0.011	11.380	<0.001	0.099	0.141
Differing traded value	0.2093	0.049	4.249	<0.001	0.113	0.306
Venue	−0.1046	0.011	−9.692	<0.001	−0.126	−0.083