Upcoming Christmas jump in LIBOR

Mikheev, V. L.; Miheev, Serge E.

doi:10.12688/f1000research.26024.1

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2023

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(2 citation statements)

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“…In the pre-print 13 of this paper, one can find our predictions for the jump after Xmas of 2019 and see that later data from the event confirmed it.…”

Section: Discussionmentioning

confidence: 58%

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Repeating Christmas jump in LIBOR

Mikheev

Miheev

2023

F1000Res

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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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“…In the pre-print 13 of this paper, one can find our predictions for the jump after Xmas of 2019 and see that later data from the event confirmed it.…”

Section: Discussionmentioning

confidence: 58%

“…Build 15 pairs ( x i , y i ), i = −15,...,−1, where

. Put them into any program to find linear regression, for example, into our code in R, which is available as Extended data 12 . The result of the regression is two numbers: that corresponding to free term is b 2020 , the other is a 2020 .…”

Section: Resultsmentioning

confidence: 99%