LIBOR故障：基于最大熵的异常运动检测
LIBOR troubles: anomalous movements detection based on Maximum Entropy
摘要：
根据伦敦银行同业拆放利率的定义，供款银行应公平估计本身在银行同业市场的借贷成本。2007年至2009年期间，几家银行提交了不适当的LIBOR，有时是出于从其交易头寸中获利的动机。2012年，几家报纸的文章开始对LIBOR的完整性产生怀疑，导致监管当局对银行的行为进行调查。这些程序导致对承认其财务不当行为的有关银行处以严厉罚款。在本文中，我们发现这种不公平的行为，使用预测方法的基础上最大熵原则。我们的研究结果对参数设置的变化是稳健的，对市场监督有很大的帮助。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
