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: 2023-07-31

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: http://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