The (in)visible hand in the Libor market: an information theory approach

详细信息    查看全文

• 作者：Aurelio Fernandez Bariviera ; María Belén Guercio…
• 关键词：Statistical and Nonlinear Physics
• 刊名：The European Physical Journal B - Condensed Matter
• 出版年：2015
• 出版时间：August 2015
• 年：2015
• 卷：88
• 期：8
• 全文大小：395 KB
• 参考文献：1.C.?Mollenkamp, M.?Whitehouse, Study casts doubt on key rate: WSJ analysis suggests banks may have reported flawed interest data for libor, The Wall Street Journal, 29 May, p.1 (2008)
  2.D.M. Ellis, Libor manipulation: A brief overview of the debate, FTI Consulting (2011)
  3.L.?Bachelier, Théorie de la spéculation (Annales Scientifiques de l’école Normale Supérieure, Paris, 1900)
  4.E.F. Fama, Foundations of finance: portfolio decisions and securities prices (Basic Books, New York, 1976)
  5. E.F. Fama, Am. Econ. Rev. 65, 269 (1975)
  6. A.F. Bariviera, Physica A 390, 4426 (2011)MathSciNet View Article ADS
  7. A.F. Bariviera, M.B. Guercio, L.B. Martinez, Econ. Lett. 116, 426 (2012)View Article
  8. A. Stenfors, J. Int. Financ. Markets Instit. Money 32, 452 (2014)View Article
  9.F.A. Hayek, Am. Econ. Rev. 35, 519
  10. J.B. Taylor, J.C. Williams, Am. Econ. J.: Macroecon. 1, 58 (2009)
  11.C.A. Snider, T.?Youle, Does the libor reflect banks-borrowing costs? Available at SSRN: http://?ssrn.?com/?abstract=-569603 or http://?dx.?doi.?org/-0.-139/?ssrn.-569603 (2010)
  12. R.M. Abrantes-Metz, S.B. Villas-Boas, G. Judge, Appl. Econ. Lett. 18, 893 (2011)View Article
  13. A. Monticini, D.L. Thornton, J. Macroeconomics 37, 345 (2013)View Article
  14. J. Bai, P. Perron, Econometrica 66, 47 (1998)MATH MathSciNet View Article
  15. A. Terce?o, M.B. Guercio, Investigaciones Europeas de Dirección y Economía de la Empresa 17, 33 (2011)View Article
  16. C. Bandt, B. Pompe, Phys. Rev. Lett. 88, 174102 (2002)View Article ADS
  17. P.M. Saco, L.C. Carpi, A. Figliola, E. Serrano, O.A. Rosso, Physica A 389, 5022 (2010)View Article ADS
  18. K. Keller, M. Sinn, Physica A 356, 114 (2005)View Article ADS
  19. M. Zanin, L. Zunino, O.A. Rosso, D. Papo, Entropy 14, 1553 (2012)MATH View Article ADS
  20.C.E. Shannon, W.?Weaver, The Mathematical Theory of Communication (University of Illinois Press, Champaign, IL, 1949)
  21. H. Theil, C.T. Leenders, J. Business 38, 277 (1965)View Article
  22. E.F. Fama, J. Business 38, 285 (1965)View Article
  23. M.M. Dryden, Scottish Journal of Political Economy 15, 227 (1968)View Article
  24. E. Martina, E. Rodriguez, R. Escarela-Perez, J. Alvarez-Ramirez, Energy Economics 33, 936 (2011)View Article
  25. A. Ortiz-Cruz, E. Rodriguez, C. Ibarra-Valdez, J. Alvarez-Ramirez, Energy Policy 41, 365 (2012)View Article
  26. J. Alvarez-Ramirez, E. Rodriguez, G. Espinosa-Paredes, Physica A 391, 5643 (2012)View Article ADS
  27. J.R. Iglesias, R.M.C. de Almeida, Eur. Phys. J. B 85, 85 (2012)View Article ADS
  28. D.P. Feldman, J.P. Crutchfield, Phys. Lett. A 238, 244 (1998)MATH MathSciNet View Article ADS
  29. D.P. Feldman, C.S. McTague, J.P. Crutchfield, Chaos 18, 043106 (2008)MathSciNet View Article ADS
  30. R. López-Ruiz, H.L. Mancini, X. Calbet, Phys. Lett. A 209, 321 (1995)View Article ADS
  31. M. Martín, A. Plastino, O. Rosso, Phys. Lett. A 311, 126 (2003)MATH MathSciNet View Article ADS
  32. P.W. Lamberti, M.T. Martín, A. Plastino, O.A. Rosso, Physica A 334, 119 (2004)MathSciNet View Article ADS
  33. M.T. Martín, A. Plastino, O.A. Rosso, Physica A 369, 439 (2006)View Article ADS
  34. M.C. Soriano, L. Zunino, O.A. Rosso, I. Fischer, C.R. Mirasso, IEEE J. Quantum Electron. 47, 252 (2011)View Article ADS
  35. L. Zunino, M.C. Soriano, I. Fischer, O.A. Rosso, C.R. Mirasso, Phys. Rev. E 82, 046212 (2010)MathSciNet View Article ADS
  36. L. Zunino, M. Zanin, B.M. Tabak, D.G. Pérez, O.A. Rosso, Physica A 389, 1891 (2010)View Article ADS
  37. L. Zunino, B.M. Tabak, F. Serinaldi, M. Zanin, D.G. Pérez, O.A. Rosso, Physica A 390, 876 (2011)View Article ADS
  38. L. Zunino, A.F. Bariviera, M.B. Guercio, L.B. Martinez, O.A. Rosso, Physica A 391, 4342 (2012)View Article ADS
  39. A.F. Bariviera, L. Zunino, M.B. Guercio, L.B. Martinez, O.A. Rosso, Eur. Phys. J. B 86, 509 (2013)View Article ADS
  40. O.A. Rosso, H.A. Larrondo, M.T. Martín, A. Plastino, M.A. Fuentes, Phys. Rev. Lett. 99, 154102 (2007)View Article ADS
  41. E.F. Fama, J. Finance 25, 383 (1970)View Article
  42.Reuters, New york federal reserve knew about Libor rate-fixing issues as far back as 2007 and proposed changes but were ignored, The Daily Mail, 10 July 2012, http://?www.?dailymail.?co.?uk/?news/?article-2171646/?Libor-scandal-New-York-Federal-Reserve-knew-rate-fixing-issues-far-2008.?html
  43.Libor then and now..., Banker Middle East 162, 72 (2014), http://?www.?cpifinancial.?net/?flipbooks/?BME/-014/?May/-/span>
  44.L. Saigol, G. Chon, Libor: The email trail, The Financial Times, 25 September 2013, http://?www.?ft.?com/?cms/?s/-/?cefd67a0-25df-11e3-aee8-00144feab7de.?html#axzz3FNK2XAFe
  45. R. Abrantes-Metz, D.D. Sokol, Harvard Business Law Review Online 3, 10 (2012)
  
• 作者单位：Aurelio Fernandez Bariviera (1)
  María Belén Guercio (2) (3)
  Lisana B. Martinez (2) (3)
  Osvaldo A. Rosso (4) (5)
  
  1. Department of Business, Universitat Rovira i Virgili. Av. Universitat 1, 43204, Reus, Spain
  2. Instituto de Investigaciones Económicas y Sociales del Sur, UNS-CONICET, 12 de Octubre y San Juan, B8000CTX, Bahía Blanca, Argentina
  3. Universidad Provincial del Sudoeste (UPSO), Alvarado 328, B8000CJH, Bahía Blanca, Argentina
  4. Instituto de Física, Universidade Federal de Alagoas (UFAL), BR 104 Norte km 97, 57072-970, Maceió, Alagoas, Brazil
  5. Instituto Tecnológico de Buenos Aires (ITBA), Av. Eduardo Madero 399, C1106ACD, Ciudad Autónoma de Buenos Aires, Argentina
  
• 刊物类别：Physics and Astronomy
• 刊物主题：Physics
  Condensed Matter
  Physics
  Complexity
  Fluids
  Solid State Physics and Spectroscopy
  Superconductivity, Superfluidity and Quantum Fluids
  
• 出版者：Springer Berlin / Heidelberg
• ISSN：1434-6036

文摘

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 chaotic regimes 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.