Non-Linear Impact of Chinese Treasury Bond Futures on the Information Content of IRS

This paper investigates the impact of Chinese Treasury bond (CTB) futures on the information content of interest rate swap (IRS) from a multifractality perspective. We first use multifractal detrended fluctuation analysis (MF-DFA) method and show that the swap rate and the CTB yield exhibit strong multifractality. In addition, employing multifractal detrended cross-correlation analysis (MF-DCCA) method, we find that cross-correlations between the swap rate and the CTB yield are multifractally persistent. Moreover, after the reintroduction of Treasury bond futures, the persistence of cross-correlation between the series is weaker. Our results indicate that the information content of IRS decreased after the re-launch of CTB futures.

Research on Treasury Bond Futures Trading Strategy Based on ARIMA Model

<p>This paper uses the ARIMA model to analyze the yield to maturity of China’s 10-year Treasury Bonds, and uses this yield rate to establish an investment strategy for 10-year Treasury Bond Futures (continuous in the current quarter). And then the strategy was back-tested in periods. In this paper, firstly, based on the ARIMA model, the full-sample fitting of the 10-year Treasury Bond yield to maturity series is carried out, and the fitting effect is confirmed. Then, the signal indicators and position sequence are established by comparing the iterative predicted value and the observed value. According to this method, the investment process of Treasury Bond Futures is simulated, and the return change of the strategy is quantified. Back-testing shows that this strategy tends to perform better in the volatile and bear market periods of the bond market but to underperform in the bull market period.</p>