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Article

Эффективность перекрестного арбитража на российском фьючерсном рынке

Володин С. Н., Мирошниченко И. В.

The present study focuses on the analysis of the cross arbitration use on the Russian futures market which is one of the most popular approaches to the development of investment strategies. Nine pairs of futures were selected for trading on the Russian stock market and then were divided into groups with high, medium and low correlation. The proposed author’s model has been tested on the period of 2013-2016 and yielded an average annual profit of 49.13%, which indicates its high efficiency.