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: Permutation entropy Libor manipulation Libor Interest rates Information theory Fisher information measure Financial crisis Econofisica libor manipulation interest rates information theory fisher information measure financial crisis

Abstract: © 2015 The Author(s) Published by the Royal Society. All rights reserved. This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001-2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006-2012. The stochastic switch is more severe in one, two and three months maturities. Given the specialmechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.

Thematic Areas: Química Physics and astronomy (miscellaneous) Physics and astronomy (all) Multidisciplinary sciences Medicina ii Mathematics (miscellaneous) Mathematics (all) Matemática / probabilidade e estatística Interdisciplinar Geociências General physics and astronomy General medicine General mathematics General engineering Engineering (miscellaneous) Engineering (all) Engenharias iv Engenharias iii Engenharias i Economia Ciências biológicas i Ciência da computação Biodiversidade Astronomia / física

licence for use: https://creativecommons.org/licenses/by/3.0/es/

ISSN: 1364503X

Author's mail: aurelio.fernandez@urv.cat

Author identifier: 0000-0003-1014-1010

Record's date: 2023-02-19

Papper version: info:eu-repo/semantics/publishedVersion

Link to the original source: https://royalsocietypublishing.org/doi/10.1098/rsta.2015.0119

Licence document URL: http://repositori.urv.cat/ca/proteccio-de-dades/

Papper original source: Philosophical Transactions Of The Royal Society A-Mathematical Physical And Engineering Sciences. 373 (2056):

APA: Bariviera A; Guercio M; Martinez L; Rosso O (2015). A permutation information theory tour through different interest rate maturities: The Libor case. Philosophical Transactions Of The Royal Society A-Mathematical Physical And Engineering Sciences, 373(2056), -. DOI: 10.1098/rsta.2015.0119

Article's DOI: 10.1098/rsta.2015.0119

Entity: Universitat Rovira i Virgili

Journal publication year: 2015

Publication Type: Journal Publications