Application Of Chinese Government Bond Futures Intertemporal Arbitrage Strategy

As a senior financial derivatives, Treasury futures with risk aversion and price discoveryfunction, is an effective way to hedge the risk of rising asset, after30years of developmentand improvement of the international financial markets, government bond futures market withthe feature has been full practice and recognition, and has simple operation, applicationsmature, stable and efficient. With our national debt increasingly large scale, to accelerate theprocess of market interest rates, financial institutions, hedging demand is increasing, bondfutures launch conditions are basically complete. September6,2013, Chinese five-year bondfutures in China Financial Futures Exchange was officially launched, marking China’s capitalmarket has taken an important step forward.Treasury bond futures market is a product developed to a certain size, is essentially aninterest rate instruments, trading in asset prices, debt service is targeted at the spot market.But strong professional bond futures, futures contracts and other rules designed tradingsystem, price trends, etc. There are significant differences, and the bond futures markettrading venues and trading a single species, the domestic government bond futures marketarbitrage strategy is still a lack of systematic research, investors are able to profit by robustbond futures market, and what strategies can be profitable use, the focus of this paper is tostudy.In this paper, the application characteristics of bond futures arbitrage strategy, combiningthe basic theory of bond futures pricing model elements and holding costs, focusing onintertemporal arbitrage strategies elaborated on intertemporal arbitrage strategies specific use,the steps, the key elements, the application characteristics and limitations, etc., have beenstudied and discussed, and an example of intertemporal arbitrage strategies weredemonstrated, the method proposed to circumvent practical coping strategies andintertemporal arbitrage strategies for risk points.In this paper, intertemporal arbitrage strategies for a comprehensive theoretical analysisand practical way by combining theory, this method into practice, to test its effectiveness;through the law of development of a number of foreign markets research, combined with thedomestic futures market own conditions, the intertemporal arbitrage strategy applicationcharacteristics, feasibility analyzes and studies; Treasury futures market risk points andlimitations of intertemporal arbitrage strategies were analyzed, and the methods and practicalstrategies to circumvent.