Research On The Intertemporal Arbitrage Strategy Of Chinese Treasury Bond Futures

As a commonly used form of futures trade,the intertemporal arbitrage provides an effective tool for investors to manage assets and to hedge the risks of price fluctuation.It also plays an important role in the stable operation of the futures market.As a new kind of futures of our country,the ten-year treasury bond futures provides investors and financial institutions with a richer variety of futures contracts and arbitrage strategies.In this paper,two kinds of contracts with high mobility of the ten-year treasury bond futures are chose as samples to research the intertemporal arbitrage strategies,based on reasonable hypotheses of the relative parameters and reasonable design of the operation procedures.Corresponding conclusions are obtained at the end of the research.The conclusions of the research of this paper are as below: first of all,the traditional arbitrage strategy and the statistical arbitrage strategy can both successfully identify the trade opportunities in the futures market based on the analysis of the intertemporal spreads,the calculation of the equilibrium spreads,and the establishment of the non-arbitrage interval.The main difference between this two kinds of arbitrage strategies is the methods they use to calculate the equilibrium spreads;in the second,the Matlab programs can be used to effectively capture the opportunities in the futures market based on reasonable hypotheses of the risk-free interest rate,the spot return rate,the arbitrage cost,and other relative parameters;in the third,the research of the ten-year treasury bond futures indicates that there are some intertemporal arbitrage opportunities in the treasury bond futures market,and returns can be obtained with both traditional arbitrage strategy and statistical arbitrage strategy.The amount of the returns can be effected by the calculation methods of the equilibrium spreads.The results of this paper shows that the moving average method is better than the average method.When using the same method to calculate the equilibrium spreads,there is no obvious difference between the traditional arbitrage strategy and the statistical arbitrage strategy in the aspects of return rate,trade frequency and trade success rate.The conclusions of the research of this paper can provide a theoretical reference in futures intertemporal arbitrage trade for investors,and can also help investors to effectively capture the opportunities of the most lately listed ten-year treasury bond futures in the market to obtain investment returns.And subsequently helping the pricing of the futures market more reasonable and promoting the healthy and stable development of Chinese futures market on a certain extent.