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: Teoría de la información Permutation statistical complexity Permutation entropy Libor Information theory Entropía de permutación Entropia de permutació
Resumen: © 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.
Áreas temáticas: 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
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
Enlace a la fuente original: https://www.sciencedirect.com/science/article/abs/pii/S0960077916300406?via%3Dihub
URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: Chaos Solitons & Fractals. 88 172-182
Referencia de l'ítem segons les normes 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
DOI del artículo: 10.1016/j.chaos.2016.02.009
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2016
Tipo de publicación: Journal Publications