Volatility of Treasury Bond Futures Price: Evidence from Tick-by-Tick Data

摘要

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.