Arbitrage Model And Empirical Research Of Treasury Bond Futures

As the interest rate market growing step by step and because of the background of avoiding interest rate risk, the treasury bond futures restarts trading after an absence of nearly two decades, which opened a marked the new era of interest rate futures.Treasury futures’ appearance to academia and practitioners have brought new research topics for discussion, which has become one of the key concerns. From international experience, the United States, Germany, France and other countries, there are arbitrage opportunity for an extended period of time at the beginning of treasury bond futures. You can say this is a bonus system, so how to apply the basic arbitrage theory for the treausry bond futures both deepen and expand arbitrage theory, but is also a valuable topic very meaningful.This paper reviews the concept and the history of treausry bond futures. Based on the five-year bond futures contract of China Financial Futures Exchange, this paper makes a detailed study of the nominal standard bonds, the conversion factor, the cheapest to deliver bonds and other important factors, after which this paper deduced theoretical pricing formula of treasury bond futures. After this, the article applies modern arbitrage theory-holding cost model to the treasury bond futures, and then the article proposed two types of bond futures arbitrage strategies. This paper innovative proposed a close position equation of treasury bond futures to further expand the bond futures arbitrage gains. Finally, the paper makes an empirical test of the arbitrage strategies and obtains a relatively satisfactory result. And to solve the empirical problems this paper gives approaches and makes further preliminary empirical, after which the theoretical and empirical part of the entire complement are more complete.In short, treasury bond futures trading is just beginning to restart, the study still have much room for development. The paper inherited the results of previous studies and carried out further investigations. I hope this paper can give useful inspiration for scholars and researchers.