英文标题：
《A permutation Information Theory tour through different interest rate
maturities: the Libor case》
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作者：
Aurelio F. Bariviera, M. Belen Guercio, Lisana B. Martinez, Osvaldo A.
Rosso
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最新提交年份：
2015
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英文摘要：
This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2001 to 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 behavior in the Libor is detected in all currencies except Euro during the years 2006--2012. The stochastic switch is more severe in 1, 2 and 3 months maturities. Given the special mechanism of Libor setting, we conjecture that the behavior 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.
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中文摘要：
本文分析了2001年至2015年间七种不同期限的伦敦银行同业拆借利率，并参考了以英镑、欧元、瑞士法郎和日元为单位的操作。利用信息论中的两个量词：置换香农熵和置换费希尔信息测度进行分析。2006年至2012年期间，除欧元外，所有货币都出现了伦敦银行同业拆借利率的异常行为。随机转换在1个月、2个月和3个月到期时更为严重。鉴于伦敦银行同业拆借利率设定的特殊机制，我们推测这种行为可能是由金融当局发现的操纵行为造成的。我们认为，作为一种市场监管工具，我们的方法是恰当的。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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