LIBOR troubles: Anomalous movements detection based on maximum entropy

Autores
Bariviera, Aurelio F.; Martín, María Teresa; Plastino, Ángel Luis; Vampa, Victoria Cristina
Año de publicación
2016
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from their trading positions. In 2012, several newspapers’ articles began to cast doubt on LIBOR integrity, leading surveillance authorities to conduct investigations on banks’ behavior. Such procedures resulted in severe fines imposed to involved banks, who recognized their financial inappropriate conduct. In this paper, we uncover such unfair behavior by using a forecasting method based on the Maximum Entropy principle. Our results are robust against changes in parameter settings and could be of great help for market surveillance.
Instituto de Física La Plata
Materia
Física
Maximum Entropy
LIBOR manipulation
Interest rates
Nivel de accesibilidad
acceso abierto
Condiciones de uso
http://creativecommons.org/licenses/by/4.0/
Repositorio
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/130644
Acceder
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oai_identifier_str oai:sedici.unlp.edu.ar:10915/130644
network_acronym_str SEDICI
repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling LIBOR troubles: Anomalous movements detection based on maximum entropyBariviera, Aurelio F.Martín, María TeresaPlastino, Ángel LuisVampa, Victoria CristinaFísicaMaximum EntropyLIBOR manipulationInterest ratesAccording to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from their trading positions. In 2012, several newspapers’ articles began to cast doubt on LIBOR integrity, leading surveillance authorities to conduct investigations on banks’ behavior. Such procedures resulted in severe fines imposed to involved banks, who recognized their financial inappropriate conduct. In this paper, we uncover such unfair behavior by using a forecasting method based on the Maximum Entropy principle. Our results are robust against changes in parameter settings and could be of great help for market surveillance.Instituto de Física La Plata2016info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdf401-407http://sedici.unlp.edu.ar/handle/10915/130644enginfo:eu-repo/semantics/altIdentifier/issn/0378-4371info:eu-repo/semantics/altIdentifier/arxiv/1508.04512info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2016.01.005info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0/Creative Commons Attribution 4.0 International (CC BY 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:31:13Zoai:sedici.unlp.edu.ar:10915/130644Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:31:13.86SEDICI (UNLP) - Universidad Nacional de La Platafalse
dc.title.none.fl_str_mv LIBOR troubles: Anomalous movements detection based on maximum entropy
title LIBOR troubles: Anomalous movements detection based on maximum entropy
spellingShingle LIBOR troubles: Anomalous movements detection based on maximum entropy
Bariviera, Aurelio F.
Física
Maximum Entropy
LIBOR manipulation
Interest rates
title_short LIBOR troubles: Anomalous movements detection based on maximum entropy
title_full LIBOR troubles: Anomalous movements detection based on maximum entropy
title_fullStr LIBOR troubles: Anomalous movements detection based on maximum entropy
title_full_unstemmed LIBOR troubles: Anomalous movements detection based on maximum entropy
title_sort LIBOR troubles: Anomalous movements detection based on maximum entropy
dc.creator.none.fl_str_mv Bariviera, Aurelio F.
Martín, María Teresa
Plastino, Ángel Luis
Vampa, Victoria Cristina
author Bariviera, Aurelio F.
author_facet Bariviera, Aurelio F.
Martín, María Teresa
Plastino, Ángel Luis
Vampa, Victoria Cristina
author_role author
author2 Martín, María Teresa
Plastino, Ángel Luis
Vampa, Victoria Cristina
author2_role author
author
author
dc.subject.none.fl_str_mv Física
Maximum Entropy
LIBOR manipulation
Interest rates
topic Física
Maximum Entropy
LIBOR manipulation
Interest rates
dc.description.none.fl_txt_mv According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from their trading positions. In 2012, several newspapers’ articles began to cast doubt on LIBOR integrity, leading surveillance authorities to conduct investigations on banks’ behavior. Such procedures resulted in severe fines imposed to involved banks, who recognized their financial inappropriate conduct. In this paper, we uncover such unfair behavior by using a forecasting method based on the Maximum Entropy principle. Our results are robust against changes in parameter settings and could be of great help for market surveillance.
Instituto de Física La Plata
description According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate submissions of LIBOR, sometimes motivated by profit-seeking from their trading positions. In 2012, several newspapers’ articles began to cast doubt on LIBOR integrity, leading surveillance authorities to conduct investigations on banks’ behavior. Such procedures resulted in severe fines imposed to involved banks, who recognized their financial inappropriate conduct. In this paper, we uncover such unfair behavior by using a forecasting method based on the Maximum Entropy principle. Our results are robust against changes in parameter settings and could be of great help for market surveillance.
publishDate 2016
dc.date.none.fl_str_mv 2016
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Articulo
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://sedici.unlp.edu.ar/handle/10915/130644
url http://sedici.unlp.edu.ar/handle/10915/130644
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/issn/0378-4371
info:eu-repo/semantics/altIdentifier/arxiv/1508.04512
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2016.01.005
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
http://creativecommons.org/licenses/by/4.0/
Creative Commons Attribution 4.0 International (CC BY 4.0)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0/
Creative Commons Attribution 4.0 International (CC BY 4.0)
dc.format.none.fl_str_mv application/pdf
401-407
dc.source.none.fl_str_mv reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
instacron:UNLP
reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
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score 13.070432

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