title: A permutation information theory tour through different interest rate maturities: the Libor case.
abstract: 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 one, two and three months maturities. Given the special mechanism of Libor setting, we conjecture that the behaviour 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.
authors.affiliation: Department of Business, Universitat Rovira i Virgili, Av. Universitat 1, Reus 43204, Spain aurelio.fernandez@urv.net.
authors.forename: Aurelio Fernández
authors.identifier: http://orcid.org/0000-0003-1014-1010
authors.initials: AF
authors.lastname: Bariviera
authors.affiliation: Instituto de Investigaciones Económicas y Sociales del Sur, Universidad Nacional del Sur (UNS), 12 de Octubre y San Juan, Bahía Blanca B8000CTX, Argentina Universidad Provincial de Sudoeste, Alvarado 332, Bahía Blanca B8000CJH, Argentina.
authors.forename: María Belén
authors.initials: MB
authors.lastname: Guercio
authors.affiliation: Instituto de Investigaciones Económicas y Sociales del Sur, Universidad Nacional del Sur (UNS), 12 de Octubre y San Juan, Bahía Blanca B8000CTX, Argentina Universidad Provincial de Sudoeste, Alvarado 332, Bahía Blanca B8000CJH, Argentina.
authors.forename: Lisana B
authors.initials: LB
authors.lastname: Martinez
authors.affiliation: Instituto Tecnológico de Buenos Aires (ITBA), Av. Eduardo Madero 399, Ciudad Autónoma de Buenos Aires C1106ACD, Argentina Instituto de Física, Universidade Federal de Alagoas (UFAL), BR 104 Norte km 97, Maceió, Alagoas 57072-970, Brazil.
authors.forename: Osvaldo A
authors.initials: OA
authors.lastname: Rosso
keywords: Fisher information measure; Libor manipulation; financial crisis; information theory; interest rates; permutation entropy