Research On The Application Of Statistical Arbitrage Based On Cointegration In China’s Bond Market

Statistical arbitrage has been widely used by stock and commodity investors along with the rapid growth of China’s financial market since the beginning of this century.However,stock index future and security margin trading was suspended after the stock market crash in 2015.Treaasury future has then become popular among statistical arbitragers and model trading funds.This paper first summarizes foreign and domestic research achievements on statistical arbitrage and treasury future pricing,and briefly introduces the concept of statistical arbitrage,the theory of cointegration and error correction model.Then we construct a cointegration statistical arbitrage system on the spread between cash bond and treasury future,with strategies based on white noise series.According to the backtesting ran on market data from April,2015 to Jan,2017,the market neutral statistical arbitrage strategy based on cointegration performs well in china’s bond market,with positive return and high possibility of position winning.Besides,it works better on the spread between Chinese government bond and treasury future than that between Chinese development bank bond and treasury future.