| Since the T-bond futures were available in September 2013,the trades in the market increased sharply.Subsequently,CFFEX(China Financial Futures Exchange)issued the 10 year T-bond futures in March 20,2015,which enriched the variety of the T-bond futures and provided the superior hedging tools for investors.It can be predicted that both the variety of the T-bond futures and the activity of the market would develop quickly.The T-bond futures have been regarded as one of the most popular investment instruments,as Calendar Spread has been the most significant strategy in the investment.First of all,the paper introduces the researches of Calendar Spread all around the world.Secondly,it shows the definitions,the contacts and the development processes of the T-bond futures.And then,the theories of the traditional arbitrage and the statistical arbitrage are explained.The paper presents the arbitrage model based on co-integration theory in the next.Last but not the least,the empirical study is attached.The co-integration theory used in the paper is one of the applications of the statistical arbitrage theory,which means to find the regular patterns and search for the opportunities using the historical data.Specifically,it establishes the model of spread order for the assets which own the similar tendency of price fluctuation.If the spread order is irregular,the opportunities are showed up.In the paper,we hold the portfolio of current contact and forward contact of T-bond futures and use GARCH(1,1)model to describe the volatility.Based on this,we set the open-close positions and stop-loss positions by changing in the unit step,then choose the signals when the cumulative annual yield reached the maximum as the parameter.As a result,we get the cumulative annual yield of 18.46%in the sample data,while 17.02%in the extra sample data.The paper combines the theory research with the empirical study,providing a kind of strategy in calendar spread arbitrage of T-bond futures and get a good profit. |
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