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As Russia, I usually get max out land tech to get it to level 4 (Russia can do that pretty fast) and perhaps as high as 6. Then arrange the sliders by your preference (you'll usually get one level of trade and infrastructure fairly soon, but the next level will be far, far off).
 
Whatever u need at the time. It gets a lot easier to get ahead in tech with Austria and Russia as u don't have to advance in naval tech. Bear in mind that getting far ahead in tech slows down research so being very far ahead isn't really worth it.

Early on I keep my army tech on par with other nations while building up the country, add a trade and infrastructure level here and there if possible.

Though if u plan on military conquest some military techs could be nice.
 
Research strategies

You have to decide what your longterm strategy/style of play is. If you are going to take a peaceful style of play, then you want to go like gangbusters on infrastructure to build tax collectors, judges, governors, and factories. The earlier you get these infrastructure levels and the earlier you make the upgrades, the more they pay off.

Beware however that infrastructure requires a beaucoup grande size portion of your budget, so everything else gets sacrificed.

If quick war and expansion is your style, then heavy investing in land tech is a must.

For either strategy, you cannot afford to get behind in trade. You must keep on par with your neighbors or risk getting kicked out of your own center(s) of trade, never mind in other CofT outside your territory. Being able to do this to another player (monopoly in his captial CofT) is great fun, btw, and with some diplomatic expenditures, AI players will not do a DofW in retaliation.

My preference is to stay on par with naval and one level up on land.