GUERCIO Maria Belen
The (in)visible hand in the Libor market: an information theory approach
FERNÁNDEZ BARIVIERA, AURELIO; GUERCIO, M. BELEN; MARTINEZ, LISANA, B; OSVALDO A. ROSSO
The European Physical Journal B
Lugar: París; Año: 2015 vol. 88
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 chaoticregimes 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.