Christmas Jump in LIBOR
Vikenty Mikheev, Serge E. Miheev
TL;DR
This paper identifies a short-term seasonal pattern in LIBOR, specifically a jump after Christmas that varies with pre-holiday data trends, highlighting a new market behavior insight.
Contribution
It uncovers a previously unnoticed Christmas-related jump in 2-month LIBOR and links its characteristics to prior data trends, offering novel market behavior understanding.
Findings
2-month LIBOR jumps after Christmas
Jump size depends on pre-Xmas data trend
Identifies seasonal pattern in LIBOR dynamics
Abstract
A short-term pattern in LIBOR dynamics was discovered. Namely, 2-month LIBOR experiences a jump after Xmas. The sign and size of the jump depend on the data trend on 21 days before Xmas.
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Taxonomy
TopicsComputational Physics and Python Applications