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

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Mikhail Kopytin ; Evgeniy Kazantsev (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 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.
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