在LIBOR中重复圣诞节的跳跃
Vikenty Mikheev1, Serge E Miheev2
1Mathematics, Kansas State University, Manhattan, KS, 66502, USA.
F1000Research
|August 7, 2023
概括
2个月的伦敦银行间发行利率 (LIBOR) 在圣诞节之后显示出可预测的跳跃. 20年来观察到的这种模式取决于假日前的趋势,提供了潜在的交换市场策略.
科学领域:
- 金融市场 金融市场
- 计量经济学 计量经济学
- 时间序列分析时间序列分析
背景情况:
- 自1986年以来,伦敦银行间发行利率 (LIBOR) 作为一个关键的基准利率.
- 了解LIBOR的行为对于金融市场参与者来说至关重要.
研究的目的:
- 为了识别LIBOR行为中的短期模式.
- 调查Libor在假日季节左右的波动的可预测性.
主要方法:
- 应用一个双层线性回归模型.
- 对历史LIBOR数据的分析,重点关注圣诞节前的时期.
主要成果:
- 在过去的二十年中,在圣诞节之后观察到2个月LIBOR的持续,短期升.
- 这个圣诞节后跳跃的幅度和方向与圣诞节前21天LIBOR数据的趋势相关.
结论:
- 发现的LIBOR跳跃模式是一个可预测的现象.
- 这些发现可以为在交换市场中开发有利可图的交易策略提供信息.
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