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A permutation information theory tour through different interest rate maturities: The Libor case

  • Identification data

    Identifier: imarina:6388394
    Authors:
    Bariviera AGuercio MMartinez LRosso O
    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.
  • Others:

    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: 2024-09-07
    Papper version: info:eu-repo/semantics/publishedVersion
    Link to the original source: https://royalsocietypublishing.org/doi/10.1098/rsta.2015.0119
    Licence document URL: https://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
  • Keywords:

    Engineering (Miscellaneous),Mathematics (Miscellaneous),Multidisciplinary Sciences,Physics and Astronomy (Miscellaneous)
    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
    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
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