Research On Arbitrage Strategy Of Treasury Bonds Based On High Frequency Data

March 20,2015,10-year Treasury bonds listed on the China Financial Futures Exchange listed,to achieve China's national debt futures market from a single variety to a variety of breakthroughs.With the 10-year bond futures market and the Treasury futures market liquidity continues to improve,bond futures across the variety of arbitrage transactions possible,with the matching bond futures trading strategy also need to be rich.Due to the introduction of 10-year Treasury bonds soon,few scholars on the national debt futures across the variety of arbitrage research,investors in the national debt futures across the variety of arbitrage can refer to the basis of little.Therefore,this paper will study the theoretical basis and trading strategy of national debt futures across varieties,provide effective suggestions for investors and promote the development of cross-breaches of bond futures market.Based on the five-year Treasury futures contract and 10-year Treasury futures contract price of China Financial Futures Exchange,this paper uses threshold co-integration test and constructs threshold autoregressive model(TAR)to develop arbitrage strategy and arbitrage effect.In the selection qualitative analysis and quantitative research combined with the research methods.In the use of measurement tools is mainly the use of EXCEL,EVIEWS,R software and MATLAB to achieve.First,we select the 5-year high-frequency data of 5-year Treasury futures contract and 10-year Treasury bond futures contract,and then based on the threshold autoregressive model.According to the E-G two-step method,the covariance test was carried out by using the three-mechanism threshold cointegration autoregressive model and the sup-Wald test method.In terms of parameter estimation,the lattice search method is used to estimate the threshold and cointegration vectors of the threshold cointegration model.Finally,the TAR model and the threshold interval are obtained.On this basis,two sets of arbitrage portfolio positions are constructed,and the upper and lower thresholds are used as the trading signals to set up the arbitrage strategy.The arbitrage effect is analyzed,the performance of the market returns is calculated,and the effectiveness of the threshold coinage arbitrage model is tested.The results show that there are long-term cointegration relations between the 5-year Treasury note and the 10-year Treasury futures price data,and there are threshold cointegration behaviors,and then the thresholds of the threshold autoregressive model are estimated as arbitrage transactions Of the signal,the use of the estimated threshold corresponding to the arbitrage strategy to arbitrate the data within the sample results are good,the success rate of 69%,both arbitrage rules used in the data outside the sample arbitrage effect,although no sample The effect is good,but the success rate has reached 61%,indicating that the threshold cointegration model can be applied to China's national debt futures market arbitrage.