英文标题：
《Futures market efficiency diagnostics via temporal two-point
  correlations. Russian market case study》
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作者：
Mikhail Kopytin, Evgeniy Kazantsev
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最新提交年份：
2013
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英文摘要：
  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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中文摘要：
利用两点相关技术，我们研究了俄罗斯新兴期货市场中市场效率的出现，重点关注滞后相关性。在每小时的时间范围内，滞后的市场间相关性中的领导者-追随者效应的相关性强度最初（2009-2011年）被认为是显著的，但随着前领导者工具——原油、美元/卢布汇率和俄罗斯股市指数——似乎失去了领导者地位，这种相关性强度逐渐下降。提出了一种基于两点相关性的无效率指数，并建立了其历史。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Trading and Market Microstructure        交易与市场微观结构
分类描述：Market microstructure, liquidity, exchange and auction design, automated trading, agent-based modeling and market-making
市场微观结构，流动性，交易和拍卖设计，自动化交易，基于代理的建模和做市
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