Price Discovery Process in the USD/RUB Currency Pair

Student: Chubarov Artem

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Final Grade: 9

Year of Graduation: 2016

As the result of this research price discovery process in the USD/RUB currency pair market was studied on three related securities: futures (Moscow Exchange), spot (Moscow Exchange), and spot (FOREX). The main purpose on the paper was to evaluate the information shares attributable to each security under consideration as well as to test them for robustness with respect to the initial parameters of the model. The main results of the work are the dominance of futures market in the price discovery process with the information share exceeding 90% and the irrelevance of FOREX market in this process. Moreover, during the robustness tests the information share estimate proved to be sensitive to one of the initial parameters of the model. As the result, some further investigation was performed in this direction.

Full text (added June 15, 2016)

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