A permutation information theory through different interest rate maturities: the Libor case

AURELIO FERNÁNDEZ BARIVIERA; M. BELÉN GUERCIO; LISANA B. MARTINEZ; OSVALDO A. ROSSO

Philosophical transaction of the Royal Society A: Mathematical, Physical and Engineering Sciences .

Royal Society Publising

Año: 2015 vol. 373 p. 1 - 13

This paper analyses Libor interest rates for sevendifferent maturities and referred to operations inBritish pounds, euros, Swiss francs and Japaneseyen, during the period 2001?2015. The analysis isperformed by means of two quantifiers derived frominformation theory: the permutation Shannon entropyand the permutation Fisher information measure. Ananomalous behaviour in the Libor is detected in allcurrencies except euros during the years 2006?2012.The stochastic switch is more severe in one, two andthree months maturities. Given the specialmechanismof Libor setting, we conjecture that the behaviourcould have been produced by the manipulation thatwas uncovered by financial authorities. We argue thatour methodology is pertinent as a market overseeinginstrument.