Autor según el artículo: Bariviera A; Guercio M; Martinez L; Rosso O
Departamento: Gestió d'Empreses
Autor/es de la URV: Fernández Bariviera, Aurelio / MARTÍNEZ, LISANA BELÉN
Palabras clave: Tomorrow Tipus d'interès Teoria de l'informació Stock-market Statistical complexity Statistical and nonlinear physics Models Libor Exchange Entropy Efficiency Econofisica Complexitat
Resumen: © 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.
Áreas temáticas: 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
Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
ISSN: 14346028
Direcció de correo del autor: aurelio.fernandez@urv.cat
Identificador del autor: 0000-0003-1014-1010
Fecha de alta del registro: 2024-09-07
Versión del articulo depositado: info:eu-repo/semantics/acceptedVersion
URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: European Physical Journal b. 88 (8):
Referencia de l'ítem segons les normes 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
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2015
Tipo de publicación: Journal Publications
Repositori URV