Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies
The U.S. stock market is one of the largest and most complex marketplaces in the global financial system. Over the past several decades, this market has evolved at multiple structural and temporal scales. New exchanges became active, and others stopped trading, regulations have been introduced and a...
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| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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Wiley
2022-01-01
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| Series: | Complexity |
| Online Access: | http://dx.doi.org/10.1155/2022/7109529 |
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| _version_ | 1832565804643647488 |
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| author | Colin M. Van Oort John Henry Ring IV David Rushing Dewhurst Christopher M. Danforth Brian F. Tivnan |
| author_facet | Colin M. Van Oort John Henry Ring IV David Rushing Dewhurst Christopher M. Danforth Brian F. Tivnan |
| author_sort | Colin M. Van Oort |
| collection | DOAJ |
| description | The U.S. stock market is one of the largest and most complex marketplaces in the global financial system. Over the past several decades, this market has evolved at multiple structural and temporal scales. New exchanges became active, and others stopped trading, regulations have been introduced and adapted, and technological innovations have pushed the pace of trading activity to blistering speeds. These developments have supported the growth of a rich machine-trading ecology that leads to qualitative differences in trading behavior at human and machine time scales. We conduct a longitudinal analysis of comprehensive market data to quantify nonstationary dynamics throughout this system. We quantify the relationship between fluctuations in the number of active trading venues and realized opportunity costs experienced by market participants. We find that information asymmetries, in the form of quote dislocations, predict market-wide volatility indicators. Lastly, we uncover multiple micro-to-macro level pathways, including those exhibiting evidence of self-organized criticality. |
| format | Article |
| id | doaj-art-9fb343aed3c44f12ab9026c4e35dd0ca |
| institution | Kabale University |
| issn | 1099-0526 |
| language | English |
| publishDate | 2022-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Complexity |
| spelling | doaj-art-9fb343aed3c44f12ab9026c4e35dd0ca2025-02-03T01:06:37ZengWileyComplexity1099-05262022-01-01202210.1155/2022/7109529Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market EfficienciesColin M. Van Oort0John Henry Ring IV1David Rushing Dewhurst2Christopher M. Danforth3Brian F. Tivnan4The MITRE CorporationComplex Systems CenterComplex Systems CenterComplex Systems CenterThe MITRE CorporationThe U.S. stock market is one of the largest and most complex marketplaces in the global financial system. Over the past several decades, this market has evolved at multiple structural and temporal scales. New exchanges became active, and others stopped trading, regulations have been introduced and adapted, and technological innovations have pushed the pace of trading activity to blistering speeds. These developments have supported the growth of a rich machine-trading ecology that leads to qualitative differences in trading behavior at human and machine time scales. We conduct a longitudinal analysis of comprehensive market data to quantify nonstationary dynamics throughout this system. We quantify the relationship between fluctuations in the number of active trading venues and realized opportunity costs experienced by market participants. We find that information asymmetries, in the form of quote dislocations, predict market-wide volatility indicators. Lastly, we uncover multiple micro-to-macro level pathways, including those exhibiting evidence of self-organized criticality.http://dx.doi.org/10.1155/2022/7109529 |
| spellingShingle | Colin M. Van Oort John Henry Ring IV David Rushing Dewhurst Christopher M. Danforth Brian F. Tivnan Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies Complexity |
| title | Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies |
| title_full | Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies |
| title_fullStr | Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies |
| title_full_unstemmed | Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies |
| title_short | Ecological and Coevolutionary Dynamics in Modern Markets Yield Nonstationarity in Market Efficiencies |
| title_sort | ecological and coevolutionary dynamics in modern markets yield nonstationarity in market efficiencies |
| url | http://dx.doi.org/10.1155/2022/7109529 |
| work_keys_str_mv | AT colinmvanoort ecologicalandcoevolutionarydynamicsinmodernmarketsyieldnonstationarityinmarketefficiencies AT johnhenryringiv ecologicalandcoevolutionarydynamicsinmodernmarketsyieldnonstationarityinmarketefficiencies AT davidrushingdewhurst ecologicalandcoevolutionarydynamicsinmodernmarketsyieldnonstationarityinmarketefficiencies AT christophermdanforth ecologicalandcoevolutionarydynamicsinmodernmarketsyieldnonstationarityinmarketefficiencies AT brianftivnan ecologicalandcoevolutionarydynamicsinmodernmarketsyieldnonstationarityinmarketefficiencies |