Van Oort, C., Ring, J.H., Dewhurst, D., Danforth, C. and Tivnan, B.
Complexity, Volume 2022, Article ID 7109529 (June 2022)
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. -ese 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.
“Complexity” is an open access journal, meaning that the full-text of all published articles is made freely available on the journal’s website with no subscription or registration barriers, https://www.hindawi.com/journals/complexity/2022/7109529/.