Formation and comparative analysis of microstructural data on investor behaviour in the Russian derivatives market
Alexey E. Minin, Postgraduate Student. Moscow Financial and Industrial University “Synergy”
Abstract
The article deals with the problem of the lack of systematic microstructural data on the behaviour of participants in the Russian derivatives market. The study aims to create a verified dataset on investors’ open interests and conduct a comparative analysis of the market structure using five key assets (SBER, GAZP, MGNT, BRENT, USDRUB) for 2020–2025 as examples. Methodologically, the research relies on an algorithm developed for the automated collection and filtering of high-frequency data from the Moscow Exchange service (FUTOI), as well as the author’s methodology for constructing continuous price series for futures contracts based on volume-weighted average price (VWAP). The main result of this work is an empirical assessment of fundamental structural differences between market segments. The study has established that the stock market is experiencing a “systemic antagonism” effect, where retail investors consistently hold long positions, providing liquidity for hedging operations of institutional participants. The article demonstrates a critical scale asymmetry: despite the numerical dominance of individuals (97–99% of accounts), the average position of a legal entity exceeds that of a retail investor by 40–230 times, depending on the asset. The formed dataset and identified patterns create an empirical basis for further modelling of pricing and volatility processes.
Keywords: derivatives market; market microstructure; investor behaviour; open interest; futures contracts; big data; algorithmic data collection; retail investors; institutional investors; market sentiment.
For citation: Minin A. E. Formation and comparative analysis of microstructural data on investor behaviour in the Russian derivatives market. Digital Models and Solutions. 2026. Vol. 5, no. 1, pp. 89–101. DOI: 10.29141/2949-477X-2026-5-1-6. EDN: PVHYTM.
