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

  title={A permutation information theory tour through different interest rate maturities: the Libor case},
  author={A. F. Bariviera and M. Guercio and Lisana B. Martinez and O. Rosso},
  journal={Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences},
  • A. F. Bariviera, M. Guercio, +1 author O. Rosso
  • Published 2015
  • Economics, Medicine, Mathematics
  • Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences
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… Expand

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