Research On The Cross-breed Arbitrage Strategy Of Treasury Bonds

Before the launch of the ten-year Treasury bond futures,scholars' research on the arbitrage of China's national debt futures mainly focused on the current arbitrage and intertemporal arbitrage.With the introduction of the new treasury futures variety ten-year treasury futures,cross-species arbitrage of treasury bonds futures is possible.This paper studies the five-year and ten-year cross-species arbitrage strategies,which can not only enrich and improve the theoretical study of cross-species arbitrage in China's futures market;but also reduce the volatility of market prices,maintain the stable development of the capital market,and regulate the lubrication market of the authorities.Both are of great significance;at the same time,quantitative investment decisions for investors also have certain reference significance.This paper selects the one-minute high-frequency closing price of the five-year and ten-year treasury bond futures contracts as the research sample.The study of the two shows that in the short term,the price fluctuations of the two are different,but in the long run,the two The price movements are basically the same,which means that the spread between the two fluctuates within a stable region.This paper firstly tests the high-frequency closing price of two kinds of treasury bonds futures,and finds that there is a long-term equilibrium relationship between the two,and then the error correction of the model.This is because the cointegration relationship tests the long-term equilibrium stability relationship between the two variables,and the error correction can improve the accuracy of the short-term unbalanced state cointegration regression.Applying the error correction model to the strategy can improve the control ability of the trading strategy risk.Therefore,this paper uses the error correction model to obtain the contract ratio,which can make the arbitrage strategy more accurate.In the construction of no-arbitrage interval,this paper uses a threshold autoregressive model.Threshold autoregressive model is a theory based on thetraditional cointegration theory to study the nonlinear cointegration relationship of time series.The model can accurately fit the relevant data of economic and financial categories.This paper uses this model to determine the no-arbitrage interval.Improve the accuracy of the arbitrage strategy.By constructing the threshold autoregressive model of the three mechanisms,the threshold value is obtained,that is,the upper and lower limits of the no-arbitrage interval;the opening and closing and stop loss signals are set,and the arbitrage effect is tested by using the programmatic transaction.According to the constructed arbitrage strategy,the arbitrage effect of the data in the sample is as follows: the arbitrage success rate is 70.08%,and the annualized rate of return can reach 21.52%.Using this strategy to test the data outside the sample,it is found that from the arbitrage times,the success rate of the data outside the sample is61.84%;from the gains obtained,the annualized rate of return is 18.24%.The arbitrage effect of the data outside the sample is not as good as the arbitrage effect of the data in the sample.This is because the arbitrage strategy calculated by using the data in the sample when testing the data outside the sample does not adjust the arbitrage strategy accordingly,but the overall effect is The arbitrage strategy constructed in this article is very effective and can achieve good yields.