The (in)visible hand in the Libor market: an Information Theory approach
Statistical Finance
2015-08-20 v1 Computational Finance
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
Cite
@article{arxiv.1508.04748,
title = {The (in)visible hand in the Libor market: an Information Theory approach},
author = {Aurelio F. Bariviera and M. Belén Guercio and Lisana B. Martinez and Osvaldo A. Rosso},
journal= {arXiv preprint arXiv:1508.04748},
year = {2015}
}
Comments
PACS 89.65.Gh Econophysics; 74.40.De noise and chaos