Repeating Christmas jump in LIBOR

Vikenty Mikheev; Serge E Miheev

doi:10.12688/f1000research.26024.2

Repeating Christmas jump in LIBOR

F1000Res. 2023 Jul 27:9:1221. doi: 10.12688/f1000research.26024.2. eCollection 2020.

Authors

Vikenty Mikheev¹, Serge E Miheev²

Affiliations

¹ Mathematics, Kansas State University, Manhattan, KS, 66502, USA.
² Applied Mathematics and Control Processes, St. Petersburg State University, St. Petersburg, 198504, Russian Federation.

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.

Keywords: Christmas jump; LIBOR; linear regression; pattern; short term approximation; swap market.

Grants and funding

The author(s) declared that no grants were involved in supporting this work.