Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study

Preprint OPEN
Kopytin, Mikhail; Kazantsev, Evgeniy;
(2013)
  • Subject: Quantitative Finance - Trading and Market Microstructure

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 fra... View more
  • References (5)

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