Research On Arbitrage Strategy Of Treasury Bond Futures Based On Threshold Cointegration

10-year Treasury bonds listed on the China Financial Futures Exchange listed,achieving China's national debt futures market from a single variety to a variety of breakthroughs,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.Developed from the traditional cointegration theory threshold autoregressive model can capture the nonlinear time series,applicable to explain the nonlinear cointegration relationship between the two variables,thus the model was applied to cross varieties carry system,better fitting long-term equilibrium relationship between variables and to determine the upper and lower threshold value of the carry trade.Therefore,this article adopts the method of combining theoretical analysis and empirical research,with five and 10 year contract price one minute of high-frequency data as the arbitrage sample,using the threshold autoregressive(TAR)model to determine the no-arbitrage interval,thus design arbitrage strategy,arbitrage results..This paper first verifies the rationality of sample data selection,and carries out the basic inspection and co-integration test of sample data before arbitrage.Secondly,the three-system threshold model is constructed.After the threshold behavior test,the threshold value of the threshold TAR model is estimated by the lattice search method,and no arbitrage interval is determined.Based on this,the arbitrage strategy is set up.Finally,the arbitrage effect of arbitrage strategy is analyzed,and the profit of arbitrage is considerable,and the applicability of arbitrage strategy based on TAR model is verified.