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dc.contributor.author
Fernández Bariviera, Aurelio
dc.contributor.author
Guercio, María Belén
dc.contributor.author
Martinez, Lisana Belén
dc.contributor.author
Rosso, Osvaldo Aníbal
dc.date.available
2018-06-07T16:22:47Z
dc.date.issued
2015-07
dc.identifier.citation
Fernández Bariviera, Aurelio; Guercio, María Belén; Martinez, Lisana Belén; Rosso, Osvaldo Aníbal; A permutation information theory tour through different interest rate maturities: the Libor case; The Royal Society; Philosophical Transactions of the Royal Society A - Mathematical Physical and Engineering Sciences; 373; 2056; 7-2015; 1-13
dc.identifier.issn
1364-503X
dc.identifier.uri
http://hdl.handle.net/11336/47681
dc.description.abstract
This paper analyses Libor interest rates for seven different maturities and referred to operations in British pounds, euros, Swiss francs and Japanese yen, during the period 2001–2015. The analysis is performed by means of two quantifiers derived from information theory: the permutation Shannon entropy and 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 special mechanism of Libor setting, we conjecture that the behaviour could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.
dc.format
application/pdf
dc.language.iso
eng
dc.publisher
The Royal Society
dc.rights
info:eu-repo/semantics/openAccess
dc.rights.uri
https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
dc.subject
Financial Crisis
dc.subject
Libor Manipulation
dc.subject
Interest Rates
dc.subject
Information Theory
dc.subject.classification
Economía, Econometría
dc.subject.classification
Economía y Negocios
dc.subject.classification
CIENCIAS SOCIALES
dc.title
A permutation information theory tour through different interest rate maturities: the Libor case
dc.type
info:eu-repo/semantics/article
dc.type
info:ar-repo/semantics/artículo
dc.type
info:eu-repo/semantics/publishedVersion
dc.date.updated
2018-06-06T20:44:57Z
dc.journal.volume
373
dc.journal.number
2056
dc.journal.pagination
1-13
dc.journal.pais
Reino Unido
dc.journal.ciudad
Londres
dc.description.fil
Fil: Fernández Bariviera, Aurelio. Universitat Rovira I Virgili; España
dc.description.fil
Fil: Guercio, María Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
dc.description.fil
Fil: Martinez, Lisana Belén. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Bahía Blanca. Instituto de Investigaciones Económicas y Sociales del Sur. Universidad Nacional del Sur. Departamento de Economía. Instituto de Investigaciones Económicas y Sociales del Sur; Argentina. Provincia de Buenos Aires. Dirección General de Cultura y Educación. Universidad Provincial del Sudoeste; Argentina
dc.description.fil
Fil: Rosso, Osvaldo Aníbal. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina. Instituto Tecnológico de Buenos Aires; Argentina. Universidade Federal de Alagoas; Brasil
dc.journal.title
Philosophical Transactions of the Royal Society A - Mathematical Physical and Engineering Sciences
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/doi/http://dx.doi.org/10.1098/rsta.2015.0119
dc.relation.alternativeid
info:eu-repo/semantics/altIdentifier/url/http://rsta.royalsocietypublishing.org/content/373/2056/20150119
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