Data manipulation detection via permutation information theory quantifiers
Statistical Finance
2015-01-20 v1
Abstract
Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in the LIBOR rate that from the expected behavior. We analyze several interest rates time series and we detect an anomalous behavior in LIBOR, specially during the period of the financial crisis of 2008. Our findings could be consistent with data manipulation.
Cite
@article{arxiv.1501.04123,
title = {Data manipulation detection via permutation information theory quantifiers},
author = {Aurelio Fernandez Bariviera and M. Belén Guercio and Lisana B. Martinez},
journal= {arXiv preprint arXiv:1501.04123},
year = {2015}
}
Comments
Preprint presented at XVIII Conference on Nonequilibrium Statistical Mechanics and Nonlinear Physics MEDYFINOL 2014. Macei\'o (AL), Brazil