Repeating Christmas jump in LIBOR.
| Autor: | Mikheev V; Mathematics, Kansas State University, Manhattan, KS, 66502, USA., Miheev SE; Applied Mathematics and Control Processes, St. Petersburg State University, St. Petersburg, 198504, Russian Federation. |
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| Jazyk: | angličtina |
| Zdroj: | F1000Research [F1000Res] 2023 Jul 27; Vol. 9, pp. 1221. Date of Electronic Publication: 2023 Jul 27 (Print Publication: 2020). |
| DOI: | 10.12688/f1000research.26024.2 |
| Abstrakt: | Background: London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Methods: Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour. Results: To wit, 2-month LIBOR experiences a jump after Xmas for the last two decades. The direction and size of the jump depend on the data trend on 21 days before Xmas. Conclusions: The obtained results can be used to build a winning strategy on the Swap Market. Competing Interests: No competing interests were disclosed. (Copyright: © 2023 Mikheev V and Miheev SE.) |
| Databáze: | MEDLINE |
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