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: 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
Resumen: © 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.
Áreas temáticas: 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
Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
ISSN: 1364503X
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/publishedVersion
URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: Philosophical Transactions Of The Royal Society A-Mathematical Physical And Engineering Sciences. 373 (2056):
Referencia de l'ítem segons les normes 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
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2015
Tipo de publicación: Journal Publications
Repositori URV