英文标题：
《LIBOR troubles: anomalous movements detection based on Maximum Entropy》
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作者：
Aurelio F. Bariviera, M.T. Martin, A. Plastino, V. Vampa
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最新提交年份：
2015
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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.
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中文摘要：
根据伦敦银行间同业拆借利率（LIBOR）的定义，出资银行应公平估计其在银行间市场的借贷成本。2007年至2009年期间，几家银行提交了不适当的伦敦银行同业拆借利率，有时出于从其交易头寸中谋利的动机。2012年，几家报纸的文章开始质疑LIBOR的诚信，导致监管机构对银行的行为进行调查。这些程序导致相关银行被处以严重罚款，这些银行承认其财务不当行为。在本文中，我们使用基于最大熵原理的预测方法来揭示这种不公平行为。我们的结果对参数设置的变化具有鲁棒性，并可能对市场监督有很大帮助。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Statistical Finance        统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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