The Statistical Character Analysis of China Treasury Bonds Market

The paper first makes clustering analysis for 20 treasury bonds'modified daily return time series by using a suitable distance metrical approach based on the correlation among the bonds.Using the Matlab software,the paper classifies the bonds of Shanghai Stock Exchange into five groups and the results show that the correlation among the bonds evidently depend their time to maturity.Then,this paper also studies the price fluctuation structure of each bond's modified daily return series well,and the results also suggest that there is evident multi-scaling character for China treasury bonds 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.