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

Sylvain Prado and Ian Rawlinson ()
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Ian Rawlinson: Capco, Postal: Capco London, http://www.capco.com

Journal of Financial Transformation, 2013, vol. 36, 111-116

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.

Keywords: market abnormalities; market manipulation; fraud; LIBOR scandal; fractal analysis (search for similar items in EconPapers)
JEL-codes: G01 G18 G21 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:ris:jofitr:1549

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