Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study
Trading and Market Microstructure
2013-09-17 v1
Abstract
Using a two-point correlation technique, we study emergence of market efficiency in the emergent Russian futures market by focusing on lagged correlations. The correlation strength of leader-follower effects in the lagged inter-market correlations on the hourly time frame is seen to be significant initially (2009-2011) but gradually goes down, as the erstwhile leader instruments -- crude oil, the USD/RUB exchange rate, and the Russian stock market index -- seem to lose the leader status. An inefficiency index, based on two-point correlations, is proposed and its history is established.
Cite
@article{arxiv.1309.3844,
title = {Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study},
author = {Mikhail Kopytin and Evgeniy Kazantsev},
journal= {arXiv preprint arXiv:1309.3844},
year = {2013}
}
Comments
13 pages, 5 figures