Libor at crossroads: stochastic switching detection using information theory quantifiers

Fernández Bariviera, Aurelio; Guercio, M. Belén; Martinez, Lisana B.; Rosso, Osvaldo A.

Artículo de Publicación Periódica:
Libor at crossroads: stochastic switching detection using information theory quantifiers

dc.contributor.author	Fernández Bariviera, Aurelio
dc.contributor.author	Guercio, M. Belén
dc.contributor.author	Martinez, Lisana B.
dc.contributor.author	Rosso, Osvaldo A.
dc.date	info:eu-repo/date/embargoEnd/2018-07-31
dc.date.accessioned	2022-04-26T20:25:41Z
dc.date.available	2022-04-26T20:25:41Z
dc.date.issued	2016-07
dc.description.abstract	"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 discrimination of different stochastic and chaotic regimes. Using a temporal analysis based on moving windows, this paper unveils an abnormal movement of Libor time series around the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called "Libor scandal", i.e. the manipulation of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market."	en
dc.identifier.issn	0960-0779
dc.identifier.uri	http://ri.itba.edu.ar/handle/123456789/3822
dc.language.iso	en	en
dc.relation	info:eu-repo/semantics/altIdentifier/doi/ 10.1016/j.chaos.2016.02.009
dc.relation	info:eu-repo/grantAgreement/CONICET. Ciudad Autónoma de Buenos Aires
dc.rights	info:eu-repo/semantics/embargoedAccess
dc.subject	COMERCIO	es
dc.subject	ENTROPIA	es
dc.subject	TEORIA DE LA INFORMACION	es
dc.subject	ANALISIS DE SERIES DE TIEMPO	es
dc.subject	TEORIA DE LA CONMUTACION	es
dc.title	Libor at crossroads: stochastic switching detection using information theory quantifiers	en
dc.type	Artículos de Publicaciones Periódicas	es
dc.type	info:eu-repo/semantics/acceptedVersion
dspace.entity.type	Artículo de Publicación Periódica
itba.description.filiation	Fil: Fernández Bariviera, Aurelio. Universitat Rovira i Virgili; España.
itba.description.filiation	Fil: Guercio, M. Belén. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina.
itba.description.filiation	Fil: Martinez, Lisana B. Universidad Provincial del Sudoeste; Argentina.
itba.description.filiation	Fil: Rosso, Osvaldo A. Universidade Federal de Alagoas; Brasil.
itba.description.filiation	Fil: Rosso, Osvaldo A. Instituto Tecnológico de Buenos Aires; Argentina.