英文标题：
《Libor at crossroads: stochastic switching detection using information
theory quantifiers》
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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：
2016
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英文摘要：
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 unveals an abnormal movement of Libor time series arround 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.
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中文摘要：
本文研究了过去14年的28个伦敦银行同业拆借利率时间序列，分为七个期限和四种货币）。这项分析是使用金融经济学中的一种新技术进行的：复杂性熵因果平面。这种平面表示允许区分不同的随机和混沌状态。本文采用基于移动窗口的时间分析方法，揭示了2007年金融危机期间伦敦银行同业拆借利率时间序列的异常变化。伦敦银行同业拆借利率随机动态的这种变化与媒体所谓的“伦敦银行同业拆借利率丑闻”是同一时代的，即几家主要银行操纵利率。我们认为，我们的方法适合作为一种市场观察机制，因为它可以使市场信息效率的时间变化变得明显。
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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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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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