Mikheev V, Miheev SE. Repeating Christmas jump in LIBOR.
F1000Res 2023;
9:1221. [PMID:
37547625 PMCID:
PMC10403742 DOI:
10.12688/f1000research.26024.2]
[Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [What about the content of this article? (0)] [Affiliation(s)] [Abstract] [Key Words] [Track Full Text] [Figures] [Journal Information] [Submit a Manuscript] [Subscribe] [Scholar Register] [Accepted: 07/25/2023] [Indexed: 08/08/2023] Open
Abstract
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.
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