Petukhov I.V. Empirical study of e尨ciency and volatility of the FORTS derivatives market

Authors

  • admin admin

Keywords:

Statistical methods, derivatives market, efficiency assessment, time series, econometrics

Abstract

This paper presents an empirical study of the efficiency and volatility of the FORTS derivatives market. The article analyzes time series of price changes based on data from perpetual futures on the MMVB index for the period 2013 – 2023. Various statistical methods are applied, including tests for normality of distribution, assessment of stationarity, and modeling of volatility. The results allow for the identification of market characteristics and features, as well as an evaluation of its efficiency and level of volatility. The aim of the research is to enhance understanding of the dynamics of the FORTS derivatives market and to develop effective trading strategies and risk management techniques for investors and traders. The findings may be valuable for active market participants and researchers studying financial markets and their characteristics.

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Published

2024-07-08

How to Cite

admin, admin. (2024). Petukhov I.V. Empirical study of e尨ciency and volatility of the FORTS derivatives market. DISCUSSION | Journal of Scientific Publications on Economic ISSN 2077-7639, 124(3), 106–112. Retrieved from https://discussionj.ru/index.php/polemik/article/view/205

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