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

DOI10.1098/RSTA.2015.0119MaRDI QIDQ2955830zbMATH OpenOpenAlexWikidataFDO

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)

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

Mathematics Subject Classification ID

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

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.

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Cites work

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Cited in

(9)

• LIBOR troubles: anomalous movements detection based on maximum entropy
• Characterization of electric load with information theory quantifiers
• Interest rates and information geometry
• Bandt-Pompe symbolization dynamics for time series with tied values: a data-driven approach
• A mechanism for LIBOR
• Entropy and information in the interest rate term structure
• HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE?
• A re-examination of Libor rigging: a time-varying cointegration perspective
• Libor at crossroads: stochastic switching detection using information theory quantifiers

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