GUERCIO Maria Belen
A permutation information theory tour through different interest rate maturities: the Libor case
FERNÁNDEZ BARIVIERA, AURELIO; GUERCIO, M. BELEN; MARTINEZ, LISANA, B; OSVALDO A. ROSSO
PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY A-MATHEMATICAL PHYSICAL AND ENGINEERING SCIENCES
Lugar: Londres; Año: 2015 vol. 373
This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japaneseyen, during the period 2001?2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropyand the permutation Fisher information measure. An anomalous behaviour in the Libor is detected in all currencies except euros during the years 2006?2012.The stochastic switch is more severe in one, two and three months maturities. Given the specialmechanism of Libor setting, we conjecture that the behaviourcould have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeinginstrument.