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Multi-fractal identification of "sick" markets: the LIBOR scandal case

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Abstract

Multi-fractal analysis is now widely used in medicine to distinguish healthy and pathological conditions (i.e., healthy and cancerous tissues). We follow the same approach for financial markets: fractal tools disclose hidden information from time series and allow the identification of market abnormalities. Financial regulators can apply these tools to detect fraud and market manipulation. Here we use the LIBOR scandal as an illustration.

Suggested Citation

  • Prado, Sylvain Michael & Rawlinson, Ian, 2013. "Multi-fractal identification of "sick" markets: the LIBOR scandal case," Journal of Financial Transformation, Capco Institute, vol. 36, pages 111-116.
    • Handle: RePEc:ris:jofitr:1549
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    More about this item

    Keywords

    market abnormalities; market manipulation; fraud; LIBOR scandal; fractal analysis;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation
    • G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages

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