Interview with a Chinese finance journalist

I did a talk about how foreign prop trading firms trade treasury derivatives, and met a journalist, Mac Jia, there. He in turn interviewed me around how I plan to trade Chinese treasury futures, and the article's gotten relatively known within the Shanghai finance community (unexpectedly, since I thought it was just small talk between him and I).

Here's the article:
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合约间联动性较弱给高频交易提供了套利空间 　　
国债期货上市后虽然成交清淡，但部分私募的套利策略已经比较成熟，表现出较高的参与积极性，他们通过不同的算法来规避高频套利交易面临的流动性不足难题。而以趋势交易策略为主的私募对参与国债期货仍比较谨慎。 　　
国债期货自9月6日上市以来，成交一直比较清淡，但这并未影响部分私募机构参与的积极性。
上海弈泰资产管理公司高级策略师Rocko Chan告诉期货日报记者，公司的国债期货套利策略已经比较成熟，正在进行相关测试。资料显示上海弈泰资产管理公司是一家以量化投资为交易策略的公司。
相较国外以机构参与为主的成熟市场，国内国债期货参与群体以证券公司、私募和散户为主，市场的有效性并未得到充分的挖掘。虽然国债期货每日收盘价基本合理，但是从更高频度的时间周期和跨期的角度来看，合约之间的联动性较弱，给高频交易提供了套利空间。
“就是因为偏离价差的时间维度非常小，所以必须要用高频交易进行套利。”Rocko Chan对记者表示。
高频套利交易面临的流动性不足难题如何解决呢？Rocko Chan告诉记者，“我们通过不同的算法来规避这个问题，例如可以通过挂单进行交易”。
而如何用量化的策略进行挂单交易呢？对此，海通期货国债期货分析师徐莹分析称，应该是从与整体方向一致的那端先建仓。比如判断国债期货的整体趋势向上，当发现国债期货与实际价值偏差较大时，可以先建立买入的套利头寸，以规避流动性不足可能造成的卖出端逆市交易。
其实，许多有套利策略的私募都在积极参与国债期货交易。青骓1号债券对冲专项资产管理计划在国债期货上市首日就完成了首单国债期货交易。白石资产管理公司总经理王智宏也告诉记者，“我们也在少量参与国债期货交易，以对冲策略为主，包括趋势和套利等”。
国 债期货TF1312自9月11日创出新低93.494以来，近日一路振荡走高，但这却未能吸引部分以趋势交易策略为主的私募。上海新泰厚投资管理公司总经 理桑东亮告诉记者，目前并没有参与国债期货的相关交易，因为技术数据还不能给出趋势性的判断，至少30天均线出来以后才会考虑。
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Interest rate arbitrage explained

So ehow has a pretty short and concise guide to interest rate arbitrage.

Basic run down: You get a loan somewhere, then invest it into a higher yielding instrument and make a profit on the difference. If the financing and investments are of different currency origins, then you'd need to hedge the exchange rate risk via derivatives e.g. FX futures and/or options.

So it takes a bit of legwork, but doable in theory. If most of the folks in your area are clueless around this, then your local financial market may still be inefficient enough to have this opportunity available.

Here's the ehow guide for Americans:
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1. •  First you need to find a bank that either offers an unsecured loan (if your credit is good) or a CD secured loan (if your credit score has some room for improvement). This works even better if you have a friend who is willing to front you some money.
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     The bank you choose should also have some type of deposit special going on as well. You can search for "high yield savings or checking accounts". Most banks and credit unions have something, but you can also check out "Rewards Checking" because that is a really high interest rate. If you are borrowing from a friend or family member, let them know you will give them a little extra. You can give them a set dollar amount like 3 months interest on a 6 month CD.
   • 3
     Deposit the money into a CD. Typically, you can expect to earn between 1% and 1 ½ % on a 6 month CD, at the time of this article's writing. Next, take out a secured loan on the CD, the rate of which will vary, but will usually be in the neighborhood of one full percentage point above the rate you are earning on the CD. So, if you are making 1.2% on the CD, expect to pay 3% on the loan (one FULL percentage point). Now, either the bank you are at, or another bank or credit union should be running some type of special. The banks that have the Rewards product (see Resources) average between 2% and 5%. From here on the math is simple. You are paying 3% on your loan, your principal investment in the CD is still accruing interest, and you deposit the proceeds of your loan in to the checking account making, say 5%. You win, even if you give some of the interest to the person you borrowed the money from.
     
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