Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)

Volatility of Treasury bond futures Price: evidence from Tick-by-Tick data

Authors
Xuanhua Peng, Yongkui Li, Zhiying Chen, Xiaole Guo
Corresponding Author
Xuanhua Peng
Available Online November 2017.
DOI
10.2991/wrarm-17.2017.10How to use a DOI?
Keywords
Treasury bond futures; Transaction attributes; Realized volatility; Systematic Risk
Abstract

In order to find the causes of price volatility in bond futures market, we consider the potential impact of trading properties and construct a multivariate linear model between realized volatility and Behavioral variables included the strategies of Open, Close, Long, Short and turnover. Then through an empirical analysis of tick-by-tick data, we found that realized volatility is negative respectively related to Long, Double-close and turnover, and positive correlated to Long-Close, Shot and shot-Close. The double-turnover has weakly influence, and both sides explain differences. The volume is not significantly explaining the price volatility. Therefore, our findings will be helpful to manage the risk of bond futures transactions.

Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)
Series
Advances in Intelligent Systems Research
Publication Date
November 2017
ISBN
978-94-6252-429-3
ISSN
1951-6851
DOI
10.2991/wrarm-17.2017.10How to use a DOI?
Copyright
© 2017, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Xuanhua Peng
AU  - Yongkui Li
AU  - Zhiying Chen
AU  - Xiaole Guo
PY  - 2017/11
DA  - 2017/11
TI  - Volatility of Treasury bond futures Price: evidence from Tick-by-Tick data
BT  - Proceedings of the Fifth Symposium of Risk Analysis and Risk Management in Western China (WRARM 2017)
PB  - Atlantis Press
SP  - 52
EP  - 57
SN  - 1951-6851
UR  - https://doi.org/10.2991/wrarm-17.2017.10
DO  - 10.2991/wrarm-17.2017.10
ID  - Peng2017/11
ER  -