Libor at crossroads: stochastic switching detection using information theory quantifiers

"This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies, during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality Plane. This planar representation allows the discrimin...

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Autores principales: Fernández Bariviera, Aurelio, Guercio, M. Belén, Martinez, Lisana B., Rosso, Osvaldo A.
Formato: Artículos de Publicaciones Periódicas acceptedVersion
Lenguaje:Inglés
Publicado: info
Materias:
COMERCIO
ENTROPIA
TEORIA DE LA INFORMACION
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA CONMUTACION
Acceso en línea:http://ri.itba.edu.ar/handle/123456789/3822
Aporte de:
Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA) de Instituto Tecnológico de Buenos Aires (ITBA)
id I32-R138-123456789-3822
record_format dspace
spelling I32-R138-123456789-38222022-12-07T13:06:16Z Libor at crossroads: stochastic switching detection using information theory quantifiers Fernández Bariviera, Aurelio Guercio, M. Belén Martinez, Lisana B. Rosso, Osvaldo A. COMERCIO ENTROPIA TEORIA DE LA INFORMACION ANALISIS DE SERIES DE TIEMPO TEORIA DE LA CONMUTACION "This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies, during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality Plane. This planar representation allows the discrimination of different stochastic and chaotic regimes. Using a temporal analysis based on moving windows, this paper unveils an abnormal movement of Libor time series around the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called "Libor scandal", i.e. the manipulation of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market." info:eu-repo/date/embargoEnd/2018-07-31 2022-04-26T20:25:41Z 2022-04-26T20:25:41Z 2016-07 Artículos de Publicaciones Periódicas info:eu-repo/semantics/acceptedVersion 0960-0779 http://ri.itba.edu.ar/handle/123456789/3822 en info:eu-repo/semantics/altIdentifier/doi/ 10.1016/j.chaos.2016.02.009 info:eu-repo/grantAgreement/CONICET. Ciudad Autónoma de Buenos Aires info:eu-repo/semantics/embargoedAccess application/pdf
institution Instituto Tecnológico de Buenos Aires (ITBA)
institution_str I-32
repository_str R-138
collection Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA)
language Inglés
topic COMERCIO
ENTROPIA
TEORIA DE LA INFORMACION
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA CONMUTACION
spellingShingle COMERCIO
ENTROPIA
TEORIA DE LA INFORMACION
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA CONMUTACION
Fernández Bariviera, Aurelio
Guercio, M. Belén
Martinez, Lisana B.
Rosso, Osvaldo A.
Libor at crossroads: stochastic switching detection using information theory quantifiers
topic_facet COMERCIO
ENTROPIA
TEORIA DE LA INFORMACION
ANALISIS DE SERIES DE TIEMPO
TEORIA DE LA CONMUTACION
description "This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies, during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality Plane. This planar representation allows the discrimination of different stochastic and chaotic regimes. Using a temporal analysis based on moving windows, this paper unveils an abnormal movement of Libor time series around the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called "Libor scandal", i.e. the manipulation of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market."
format Artículos de Publicaciones Periódicas
acceptedVersion
author Fernández Bariviera, Aurelio
Guercio, M. Belén
Martinez, Lisana B.
Rosso, Osvaldo A.
author_facet Fernández Bariviera, Aurelio
Guercio, M. Belén
Martinez, Lisana B.
Rosso, Osvaldo A.
author_sort Fernández Bariviera, Aurelio
title Libor at crossroads: stochastic switching detection using information theory quantifiers
title_short Libor at crossroads: stochastic switching detection using information theory quantifiers
title_full Libor at crossroads: stochastic switching detection using information theory quantifiers
title_fullStr Libor at crossroads: stochastic switching detection using information theory quantifiers
title_full_unstemmed Libor at crossroads: stochastic switching detection using information theory quantifiers
title_sort libor at crossroads: stochastic switching detection using information theory quantifiers
publishDate info
url http://ri.itba.edu.ar/handle/123456789/3822
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AT guerciombelen liboratcrossroadsstochasticswitchingdetectionusinginformationtheoryquantifiers
AT martinezlisanab liboratcrossroadsstochasticswitchingdetectionusinginformationtheoryquantifiers
AT rossoosvaldoa liboratcrossroadsstochasticswitchingdetectionusinginformationtheoryquantifiers
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