A Research On The Influencing Factors Of National Bond Futures Price In China Based On Lasso-SVR Model

Since the resumption of National debt futures market in China,the market has been running well,with diversified products and expanding market scale.As China’s interest rate marketization enters the final deepening stage,Treasury bond futures have become an important interest rate risk management tool in China’s financial market.It is of great practical significance to explore the influencing factors of Treasury bond futures price changes.Therefore,this paper adopts the method of combining theoretical analysis and empirical analysis to explore the factors that have a greater impact on the five-year Treasury bond futures price,and constructs the Treasury bond futures price prediction model with good fitting effect and high prediction accuracy.In terms of theoretical analysis,this paper makes a theoretical analysis of the influencing factors of national debt futures price,and concludes that the influencing factors of national debt futures price can be divided into five categories: spot factors of national debt,macroeconomic factors,market technical factors,expectations and psychological factors,and other investment factors.The mechanism that these factors may affect the price of Treasury bond futures is expounded respectively.In the aspect of empirical analysis,this paper firstly uses Lasso method to screen the index variables to determine the influencing factors of Treasury bond futures prices,and compares them with the results of forward stepwise regression variables selection.Then,a support vector machine model is constructed using Lasso’s selection of factors affecting the price of Treasury bond futures,and three comparison models are established to compare and analyze their fitting effect and prediction accuracy.The final conclusions are as follows:The variable selection results show that the Lasso method selects 6 variables,which are IFA,TSG,M1,Treasury bond yield,Treasury bond futures trading volume and stock index.Through further analysis of the regression coefficient of variables,Treasury bond yield has the greatest influence on the price of Treasury bond futures,and the influence direction is negative.Other variables have little influence on the price of Treasury bond futures,and all of them are in the same change direction.As a comparison,the forward stepwise regression method screens nine variables,which screens commodity index,import and export amount,PPI,fiscal EPDT and consumer satisfaction index more than Lasso method.By analyzing the coefficient of variables,it can be seen that these variables are inversely related to the price of Treasury bond futures.Meanwhile,the forward stepwise regression method does not screen out the volume of Treasury bond futures and stock index.Lasso-SVR model has the best effect in the process of constructing the prediction model of Treasury bond futures price,and is superior to the other three comparison models in both fitting effect and prediction accuracy.The classification and comparison results show that,on the one hand,Lasso method is better than forward stepwise regression method,with fewer variables screened and more explanatory,and the model built based on Lasso method has better goodness of fit and prediction accuracy.On the other hand,support vector machine regression is better than multiple linear regression,which also has better fitting effect and higher prediction accuracyTherefore,based on the results of variable selection and prediction model construction,it is concluded that six factors have an important impact on the price of Treasury bond futures,which are as follows: 1.The yield of Treasury bond,which represents the spot factor of Treasury bond,is negatively correlated with the price of Treasury bond futures,and has the greatest influence among all factors;2.TSG,IFA and M1 represent macroeconomic factors.The regression results show that these factors are positively correlated with the price of Treasury bond futures.3.The trading volume of Treasury bond futures,which represents technical factors in the market,is positively correlated with the price of Treasury bond futures;4.A stock price index representing other investment products,which moves in the same direction as the price of Treasury bond futures.