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Mikhail Kopytin; Evgeniy Kazantsev (2013)
Types: Preprint
Subjects: 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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    • [5] ForexAutomaton 2013. The Fifth Annual Summary of Research Progress. http://forexautomaton.com/research/53/23473 2s5000 t c a r t n 2co0000 , r u o h 1re5000 p e m 1luo0000 v e g a re5000 v A 11.12 07.13 02.14 date
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