Interconnection between Open Interest Indicator and the Dynamics of Prices on FORTS Derivatives Market

Student: Oshchepkov Andrey

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 8

Year of Graduation: 2020

The paper focuses on the interconnection between open interest and dymanics of futures prices on FORTS market. Our research is the first study devoted to the analysis of open interest impact on derivatives prices and volatility in the short run period. The results indicate that open interest can be used as a key indicator when forecasting futures prices intraday.

Full text (added May 23, 2020)

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