DV-PMI · Market efficiency

Market Efficiency Trend

Updated 2026-06-15

As of 2026-06-15, the active-retail Prelec fit's R² stood at 0.997 with a 52-week rolling z-score of +1.02. Higher R² means a smooth, predictable distortion curve; lower R² means the week's mispricing is dominated by idiosyncratic shocks rather than a stable behavioral signature. The 13-week moving average is 0.938.

Light line: weekly R². Bold line: 13-week moving average. Higher = the Prelec model explains the week's calibration gap more cleanly.

R² by wallet class (latest week)

Wallet class	R²
Algorithmic	0.999
Active Retail	0.997
Sophisticated	0.987
Casual	0.993
One-Shot	0.991

Methodology

Each week, for each wallet class, we fit a one-parameter Prelec weighting function to that class's pooled price-vs-realized-frequency scatter. The R² captures how well a single behavioral parameter describes that week's calibration gap. Higher values indicate a smooth, predictable distortion curve; lower values indicate that the week's mispricing is dominated by idiosyncratic shocks rather than a stable behavioral signature.

The headline index uses the active-retail R² because active retail is the largest human wallet cohort and most closely represents how well human beliefs price the market. The algorithmic R² is shown for comparison but can be noisy because algorithmic trading is more strategic than belief-driven.

Data

efficiency_history.csv · efficiency_latest.json · efficiency_timeseries.json

Cite this index

@misc{dellavedova2026efficiency,
  title        = {Market Efficiency Trend},
  author       = {Della Vedova, Joshua},
  year         = {2026},
  url          = {https://jdellavedova.com/efficiency}
}