A permutation information theory tour through different interest rate maturities: the Libor case

DOI10.1098/RSTA.2015.0119zbMATH Open1353.91046arXiv1509.00217OpenAlexW3122637610WikidataQ48110139 ScholiaQ48110139MaRDI QIDQ2955830FDOQ2955830

Authors: Aurelio Fernández Bariviera, María Belén Guercio, Lisana B. Martinez, Osvaldo A. Rosso 

Publication date: 13 January 2017

Published in: Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Abstract: This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2001 to 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 behavior in the Libor is detected in all currencies except Euro during the years 2006--2012. The stochastic switch is more severe in 1, 2 and 3 months maturities. Given the special mechanism of Libor setting, we conjecture that the behavior 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.

Full work available at URL: https://arxiv.org/abs/1509.00217

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Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• Estimating and Testing Linear Models with Multiple Structural Changes
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