The Multi-scaling Characters Analysis of China Treasury Bonds Market

The paper first makes clustering analysis for 17 treasury bonds' daily return time series by using a suitable metrical approach based on the correlation among the bonds.Using the Matlab software when the critical threshold value is appropriate 0.059 5,the paper classifies the bonds into six groups.Then,it also studies the price fluctuation structure of each bond′s daily return series well,and the results show that there is to some extent multi-scaling characters for China treasury bond market.In the meanwhile,the paper finds that there is strong self-similarity among bonds belonging to the same group,while the multi-scaling characters among different bonds are different.On the basis of that,the paper chooses six bonds from the six groups,analyzes their multi-scaling characters and finds that the scaling functions′ range of volatility of treasury bonds 010103,009908 and 010107 is large and shows the evident non-linear character,while the scaling functions′range of volatility of other three bonds is comparatively small,representing non-linear character to some extent.