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: Teoría de la información Permutation statistical complexity Permutation entropy Libor Information theory Entropía de permutación Entropia de permutació
Abstract: © 2016 Elsevier Ltd. All rights reserved. This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies, during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality Plane. This planar representation allows the discrimination of different stochastic and chaotic regimes. Using a temporal analysis based on moving windows, this paper unveils an abnormal movement of Libor time series around the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called Libor scandal, i.e. the manipulation of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market.
Thematic Areas: Statistical and nonlinear physics Química Physics, multidisciplinary Physics, mathematical Physics and astronomy (miscellaneous) Physics and astronomy (all) Physics Mathematics, interdisciplinary applications Mathematics, applied Mathematics (miscellaneous) Mathematics (all) Mathematical physics Materiais Matemática / probabilidade e estatística Interdisciplinar Geociências General physics and astronomy General mathematics Engenharias iv Engenharias iii Engenharias ii Engenharias i Economia Direito Ciências biológicas ii Ciências biológicas i Ciência da computação Astronomia / física Applied mathematics
ISSN: 09600779
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://www.sciencedirect.com/science/article/abs/pii/S0960077916300406?via%3Dihub
Licence document URL: https://repositori.urv.cat/ca/proteccio-de-dades/
Papper original source: Chaos Solitons & Fractals. 88 172-182
APA: Bariviera A; Guercio M; Martinez L; Rosso O (2016). Libor at crossroads: Stochastic switching detection using information theory quantifiers. Chaos Solitons & Fractals, 88(), 172-182. DOI: 10.1016/j.chaos.2016.02.009
Article's DOI: 10.1016/j.chaos.2016.02.009
Entity: Universitat Rovira i Virgili
Journal publication year: 2016
Publication Type: Journal Publications
Repositori URV