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
- Institución
- Universidad Nacional de La Plata
- OAI Identificador
- oai:sedici.unlp.edu.ar:10915/130644
Ver los metadatos del registro completo
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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:UNLP2025-09-03T11:03:19Zoai: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:13292025-09-03 11:03:19.261SEDICI (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) |
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openAccess |
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http://creativecommons.org/licenses/by/4.0/ Creative Commons Attribution 4.0 International (CC BY 4.0) |
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application/pdf 401-407 |
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