Restoring the Equilibrium Price on the Basis of Information Asymmetry Measures and Invariant Measures

Student: Sitnik Danil

Faculty: Faculty of Economics, Management, and Business Informatics

Educational Programme: Finance (Master)

Final Grade: 8

Year of Graduation: 2019

In this paper, we study the invariance relationships based on the MDH hypotheses and the ITI hypothesis for intraday RTS futures data. According to the results, it was found that Russian market participants do not adjust their transaction size in response to changes in the terms of trade. This means that volatility changes are determined only on the basis of trading intensity. Using an alternative technique for measuring observations, it is confirmed that the relationships between the investigated microstructural characteristics remain constant. Based on the ratio of volatility and number of trades it was obtained the intraday pattern of trading. This pattern was used to identify different time intervals of efficiency in pricing according to the theory of informed trade.

Full text (added May 20, 2019)

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