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The (in)visible hand in the Libor market: an information theory approach

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Abstract

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.

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Author information

Authors and Affiliations

  1. Department of Business, Universitat Rovira i Virgili. Av. Universitat 1, 43204, Reus, Spain

    Aurelio Fernandez Bariviera

  2. Instituto de Investigaciones Económicas y Sociales del Sur, UNS-CONICET, 12 de Octubre y San Juan, B8000CTX, Bahía Blanca, Argentina

    María Belén Guercio & Lisana B. Martinez

  3. Universidad Provincial del Sudoeste (UPSO), Alvarado 328, B8000CJH, Bahía Blanca, Argentina

    María Belén Guercio & Lisana B. Martinez

  4. Instituto de Física, Universidade Federal de Alagoas (UFAL), BR 104 Norte km 97, 57072-970, Maceió, Alagoas, Brazil

    Osvaldo A. Rosso

  5. Instituto Tecnológico de Buenos Aires (ITBA), Av. Eduardo Madero 399, C1106ACD, Ciudad Autónoma de Buenos Aires, Argentina

    Osvaldo A. Rosso

Authors
  1. Aurelio Fernandez Bariviera
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  2. María Belén Guercio
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  3. Lisana B. Martinez
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  4. Osvaldo A. Rosso
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Correspondence to Aurelio Fernandez Bariviera.

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Bariviera, A., Guercio, M., Martinez, L. et al. The (in)visible hand in the Libor market: an information theory approach. Eur. Phys. J. B 88, 208 (2015). https://doi.org/10.1140/epjb/e2015-60410-1

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  • DOI: https://doi.org/10.1140/epjb/e2015-60410-1

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