London Interbank Offered Rate (LIBOR) exists since 1986 as a benchmark interest rate. Using two-layer linear regression method, we found a pattern of shortterm nature in LIBOR behaviour. 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. The obtained results can be used to build a winning strategy on the Swap Market.
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|---|---|
| http://www.ncbi.nlm.nih.gov/pmc/articles/PMC10403742 | PMC |
| http://dx.doi.org/10.12688/f1000research.26024.2 | DOI Listing |
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