The Hedging Performance Research Of Chinese 10-year Treasury Bond Futures By LPM Measure

China is now in the key period of economic transition,and the 10-year Treasury bond futures contract in 2015 can be described as another powerful measure to improve the financial market.Treasury futures can hedge interest rate risk,promote price discovery and Treasury bonds issueing,also an improving Treasury bond futures market can prevent the financial "center of gravity" of our pricing sidelined.Hedging is a main function of Treasury bond futures,So hedging effectively is a key way to promote the development of both Treasury bonds and Treasury bond futures market.The core of the hedging is to get a better hedging ratio.The traditional hedging methods based on interest rate sensitivity or minimum variance have strict assumptions,which are always inconsistent with reality.So the paper avoids this problem with the help of emerging methods,such as Copula Model and Neural Network Model,and has compared the performance between those models by LPM treasure.The results show that both models hedge effectively,but Neural Network Model has a better hedging performance.Furthermore,we have concluded that LPM measure has certain advantages by comparing those two emerging models to some typical traditional hedging methods with the R/SV.Finally,we get the optimal weighted linear combination model by Copula Model and Neural Network Model,and the results show this combination model has a better hedging performance.