10-year Treasury Bond Futures Based On High Frequency Data Study On Intertemporal Arbitrage Strategy

The Treasury bond futures contract in China 10 years of rich market,bond investors and institutions of futures trading varieties,but also increase the selection of various trading strategies;to a certain extent,improve the futures market pricing mechanism,to promote the long-term healthy development of China's futures market.Study on the 10 year bond futures interdelivery spread to domestic scholars mainly focus on the comparison of cost arbitrage strategies and statistical arbitrage strategy two strategies effect,causes little research on their price volatility characteristics and constraints of Treasury Bond Futures Volatility spreads a period of 10 years in china.This paper analyzes the characteristics of the fluctuation of bond futures spreads in China for 10 years,which is spread in a stable range,long-term operation will appear spread from the short term,bond futures contract which shows China's 10 year existence of arbitrage opportunities based on maturity,and from the 10 year bond market price trend expiry date and volume etc,to explore the related factors on the 10-year Treasury futures price volatility.The cost of holding and statistical arbitrage strategy based on the 10 year treasury bond futures in China as the research object,selects the high mobility of the season,the next season continuous contract as the research sample,the sample data is divided into the rising period,decline period and sample period respectively to carry out research to spread as the starting point;,respectively holding cost model and statistical method based on the theory and price equilibrium spread,and to establish the equilibrium spread as the center,no arbitrage interval considering transaction costs;set arbitrage signals corresponding to the use of Matlab programming operation,the rising period,declining period and the sample period,two strategies of the bull market and bear market the number of open positions and arbitrage,success rate,and to obtain the rate of return,through the empirical arbitrage effect of the two strategies were compared,and the conclusion.Based on the analysis of intertemporal arbitrage strategy empirical 10 year bond futures show that it is necessary to conduct a separate analysis of sample data is divided into periods of rise and decline: the rise,from the comparison of the number and success rate from the rate of return,or from the bull and bear market arbitrage,arbitrage haslittle effect difference two kinds of strategies;decline in trading activity in statistical arbitrage strategy,and can capture more spread trading opportunities,the cumulative rate of return is high,the effect is better than the cost arbitrage strategy;in the whole sample period,the cost of holding strategy and statistical arbitrage strategy are able to capture arbitrage opportunities in the market in all,cocoa to obtain certain income arbitrage,arbitrage strategy of holding cost is much lower than the number of statistical arbitrage strategy,but its success rate is higher than that of the latter,only on the rate of return,The arbitrage effect of statistical arbitrage strategy is better than that of holding cost strategy.The conclusion of this paper can help the investors to make 10 year bond futures provide certain theoretical guidance for intertemporal arbitrage,help investors in the futures market to capture more opportunities for arbitrage,obtain ideal arbitrage return,can play the function of the futures market price of products to a certain extent,is beneficial to the long-term prosperity of China's futures market.