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

  • Aurelio Fernandez BarivieraEmail author
  • María Belén Guercio
  • Lisana B. Martinez
  • Osvaldo A. Rosso
Regular Article

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.

Keywords

Statistical and Nonlinear Physics 

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Copyright information

© EDP Sciences, SIF, Springer-Verlag Berlin Heidelberg 2015

Authors and Affiliations

  • Aurelio Fernandez Bariviera
    • 1
    Email author
  • María Belén Guercio
    • 2
    • 3
  • Lisana B. Martinez
    • 2
    • 3
  • Osvaldo A. Rosso
    • 4
    • 5
  1. 1.Department of BusinessUniversitat Rovira i Virgili. Av. Universitat 1ReusSpain
  2. 2.Instituto de Investigaciones Económicas y Sociales del SurBahía BlancaArgentina
  3. 3.Universidad Provincial del Sudoeste (UPSO)Bahía BlancaArgentina
  4. 4.Instituto de Física, Universidade Federal de Alagoas (UFAL)MaceióBrazil
  5. 5.Instituto Tecnológico de Buenos Aires (ITBA)Ciudad Autónoma de Buenos AiresArgentina

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