Author, as appears in the article.: Bariviera A; Guercio M; Martinez L; Rosso O
Department: Gestió d'Empreses
URV's Author/s: Fernández Bariviera, Aurelio / MARTÍNEZ, LISANA BELÉN
Keywords: Tomorrow Tipus d'interès Teoria de l'informació Stock-market Statistical complexity Statistical and nonlinear physics Models Libor Exchange Entropy Efficiency Econofisica Complexitat
Abstract: © 2015, EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg. This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality plane. This representation is able to classify different stochastic and chaotic regimes in time series. We use sliding temporal windows to assess changes in the intrinsic stochastic dynamics of the time series. Anomalous behavior in the Libor is detected, especially around the time of the last financial crisis, that could be consistent with data manipulation.
Thematic Areas: Química Psicología Physics, condensed matter Medicina ii Materiais Matemática / probabilidade e estatística Interdisciplinar Geociências Farmacia Ensino Engenharias iv Engenharias iii Engenharias ii Engenharias i Electronic, optical and magnetic materials Economia Condensed matter physics Ciências biológicas ii Ciências biológicas i Ciências agrárias i Ciência da computação Biotecnología Biodiversidade Astronomia / física
licence for use: https://creativecommons.org/licenses/by/3.0/es/
ISSN: 14346028
Author's mail: aurelio.fernandez@urv.cat
Author identifier: 0000-0003-1014-1010
Record's date: 2024-09-07
Papper version: info:eu-repo/semantics/acceptedVersion
Link to the original source: https://link.springer.com/article/10.1140%2Fepjb%2Fe2015-60410-1
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: European Physical Journal b. 88 (8):
APA: Bariviera A; Guercio M; Martinez L; Rosso O (2015). The (in)visible hand in the Libor market: an information theory approach. European Physical Journal b, 88(8), -. DOI: 10.1140/epjb/e2015-60410-1
Article's DOI: 10.1140/epjb/e2015-60410-1
Entity: Universitat Rovira i Virgili
Journal publication year: 2015
Publication Type: Journal Publications
Repositori URV