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

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  • Mikhail Kopytin
  • Evgeniy Kazantsev

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.

Suggested Citation

  • Mikhail Kopytin & Evgeniy Kazantsev, 2013. "Futures market efficiency diagnostics via temporal two-point correlations. Russian market case study," Papers 1309.3844, arXiv.org.
    • Handle: RePEc:arx:papers:1309.3844
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    1. Xavier Gabaix, 2009. "Power Laws in Economics and Finance," Annual Review of Economics, Annual Reviews, vol. 1(1), pages 255-294, May.
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