Copula Applications In Dependency Analysis Of The Treasury Bond Futures Contract

Each component correlation analysis between the financial markets,is the basis for understanding the market operation rules,effective correlation analysis can be used to optimize the market structure,improving economic efficiency.Traditional financial asset correlation analysis is linear model-based,but the latest research shows that there is a nonlinear and asymmetric correlation between financial assets,which relationship can not be measured using conventional measurement method.The financial assets having this type of characterization can be characterized by Copula function,which has outstanding advantages on tail dependence measure,to meet the demand for variables financial correlation analysis.In this paper,the theory,the nature and the major categories of Copula were introduced,and extended from the traditional Copula function,analysis the correlation of financial assets based on Copula functions through integrate the commonly used three Archimedean Copula function,adding inertia Weight PSO algorithm to optimize its parameters,SAPSO-M-Copula model was constructed.Using this model to study the relationship between the rear of 5-year Treasury Bond Futures Contract settlement price between the daily rise and fall after use inertia weight PSO optimizing the parameter of mixed Copula function,then compare the fitting ability of tail dependence about bond futures contract between mixed Copula function and traditional Copula function.The result of empirical examining shows that it is a more appropriate choice to describe the nonlinearity and asymmetry correlation characteristics by M-Copula.The trading strategy which can get excess profits will be established through our research.