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...

Descripción completa

Guardado en:

Detalles Bibliográficos
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)

Ejemplares similares

Characterization of autoregressive processes using entropic quantifiers
por: Traversaro Varela, Francisco, et al.
Publicado: (2019)

Permutation min-entropy: an improved quantifier for unveiling subtle temporal correlations
por: Zunino, Luciano, et al.
Publicado: (2021)

Switching theory /
por: Wood, Paul E.
Publicado: (1968)

Crude oil market and geopolitical events: an analysis based on information-theory-based quantifiers
por: Fernández Bariviera, Aurelio, et al.
Publicado: (2022)

Bandt-Pompe symbolization dynamics for time series with tied values: a data-driven approach
por: Traversaro Varela, Francisco, et al.
Publicado: (2020)

Introduction to the logical design of switching systems /
por: Torng, H. C. (Hwa-Chung)

Uniform stability properties of switched systems with switchings governed by digraphs
por: Mancilla-Aguilar, J. L., et al.
Publicado: (2018)

Uniform asymptotic stability of switched systems via detectability of reduced control systems
por: Mancilla-Aguilar, J. L., et al.
Publicado: (2019)

Uniform asymptotic stability of switched nonlinear time-varying systems and detectability of reduced limiting control systems
por: Mancilla-Aguilar, J. L., et al.
Publicado: (2019)

Characterization of electric load with information theory quantifiers
por: Aquino, Andre L. L., et al.
Publicado: (2019)

A state estimation strategy for a nonlinear switched system with unknown switching signals
por: Benítez, Oscar, et al.
Publicado: (info)

IP Switching : protocols and architectures /
por: Metz, Christopher Y.
Publicado: (1999)

ISS implies iISS even for switched and time-varying systems (if you are careful enough)
por: Haimovich, Hernán, et al.
Publicado: (2020)

Uniform input-to-state stability for switched and time-varying impulsive systems
por: Mancilla-Aguilar, J. L., et al.
Publicado: (2022)

Robustness properties of an algorithm for the stabilisation of switched systems with unbounded perturbations
por: Mancilla-Aguilar, J. L., et al.
Publicado: (2019)

The switch book : the complete guide to LAN switching technology /
por: Seifert, Rich, 1952-
Publicado: (2000)

Permutation entropy based time series analysis: equalities in the input signal can lead to false conclusions
por: Zunino, Luciano, et al.
Publicado: (2019)

Evaluation of the status of rotary machines by time causal information theory quantifiers
por: Redelico, Francisco, et al.
Publicado: (2019)

A characterization of Integral ISS for switched and time-varying systems
por: Haimovich, Hernán, et al.
Publicado: (2019)

Switching circuits and logical design.
Publicado: (1958)

Teoría general de los sistemas : fundamentos, desarrollo, aplicaciones /
por: Bertalanffy, Ludwig von, 1901-1972
Publicado: (1980)

Tendencias en la teoría general de sistemas.
por: Bertalanffy, Ludwing von
Publicado: (1984)

Electronic switching: central office systems of the world
Publicado: (1982)

Confidence intervals and hypothesis testing for the Permutation Entropy with an application to epilepsy
por: Traversaro Varela, Francisco, et al.
Publicado: (2020)

LIBOR troubles: Anomalous movements detection based on maximum entropy
por: Bariviera, Aurelio F., et al.
Publicado: (2016)

An extension of LaSalle’s invariance principle for switched systems
por: Mancilla-Aguilar, J. L., et al.
Publicado: (2018)

Global stability results for switched systems based on weak Lyapunov functions
por: Mancilla-Aguilar, J. L., et al.
Publicado: (2019)

Estadística.
por: Spiegel, Murray R.
Publicado: (1991)

Analysis of ischaemic crisis using the informational causal entropy-complexity plane
por: Legnani, Walter, et al.
Publicado: (2020)

Comparing different approaches to compute Permutation Entropy with coarse time series
por: Traversaro, Francisco, et al.
Publicado: (2022)

A simple and fast representation space for classifying complex time series
por: Zunino, Luciano, et al.
Publicado: (2019)

Voltage-driven hysteresis model for resistive switching: SPICE modeling and circuit applications
por: Patterson, Germán, et al.
Publicado: (2019)

Spectral analysis and time series
por: Priestley, M.B
Publicado: (1981)

The spectral analysis of time series
por: Koopmans, Lambert Herman
Publicado: (1974)

Selector-conmutado automático de fases
por: Brutti, Enzo Juan

Introduçao à teoria ergódica
por: Mañé, Ricardo
Publicado: (1983)

La doble faz del mundo físico.
por: Papp, Desiderio
Publicado: (1944)

The theory and measurement of demand.
por: Schultz, Henry
Publicado: (1938)

Pulse, digital, and switching waveforms : devices and circuits for their generation and processing /
por: Millman, Jacob, et al.
Publicado: (1965)

Detecting and quantifying temporal correlations in stochastic resonance via information theory measures
por: Rosso, O.A
Publicado: (2009)