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1、-Determinationofhedgeratioisthekeypositionofhedging,mainlymodifieddurationmethodandpointvaluebytwomethods.Throughhedging,investorswillmanagetheabsolutespotpricesintobasisriskmanagementrelative.Basisriskarenowassetmatchingdoesnotmatch,nottimelyliquidation.Treasurybondfuturesarbitraget
2、radingisanimportantmethodforinvestorstoprofit.Therationaluseofdifferentassetpricetransactions,tospreadareasonablereturnaftertheopenend,getthenonriskincome.Arbitragetradingincludesarbitrage,long/shortarbitrage,crossspeciesarbitrage,andthecrossmarketarbitrage.Thebasisoftreasurybondisth
3、edifferenceoffuturesspotpriceandfuturesprice,thefuturespricesfortheconversionfactoradjustedprice.Futurespricesandspotpriceswhicheffectthebasis,areinfluencedbythedeliverablebonds,therecentlong-termstateofmarketsupplyanddemand,fromthefuturescontractmaturity,holdingcost,thechangeofmarke
4、texpectation,policyfactors.OneofthemostimportantfactorsinfluencingtheTreasurybondsfuturesbasisisthemostcheapestdeliverablebond.9----万方数据----BasisTradingincludeslongthebasisandsellbasis,longthebasisisthemainprofitpatternoftheTreasurybondsfutures.Arbitrageisthesametradersusethesamefutu
5、respricechangesbetweendifferentdeliverymonthsoftradingprofittradingmode.Theintertemporalarbitragemainlyusetheshort-termmarketinterestratestobringthemostcheapdeliveryvoucherholdingcostchangesinbidaskspreadstotrade.Crossspeciesarbitrageinvestorsusingthetwodifferentvarietiesoftreasurybo
6、ndfuturescontractpricechangesprofittrading,mainlyusingdifferentmaturityvarietiessensitivitytointerestratechanges.Changeincrossmarketarbitrageusingthesamefuturescontractsareindifferentmarketpriceandthedifferencebetweenthetransaction.Arbitrageistheneedforawavedirectionandwavedirectiono
7、fmarketinterestratetojudge,alsoneedtofacethemarketsupplyanddemand,theimpactofthecost,riskfinancingconstraints.Thispaperwillpredictthebondfuturesinterestratechangesintheinterestratemarketizationbackground,andselectoptimizationstrategyintheinterestratetrend.Riskassessmentandmarketanaly
8、sisandempiri
