Data manipulation detection via permutation information theory quantifiers

Autor:	Aurelio Fernandez Bariviera, M. Bel\'en Guercio, Lisana B. Martinez
Jazyk:	angličtina
Rok vydání:	2015
Předmět:	FOS: Economics and business Statistical Finance (q-fin.ST) Quantitative Finance - Statistical Finance
Popis:	Recent news cast doubts on London Interbank Offered Rate (LIBOR) integrity. Given its economic importance and the delay with which authorities realize about this situation, we aim to find an objective method in order to detect departures in the LIBOR rate that from the expected behavior. We analyze several interest rates time series and we detect an anomalous behavior in LIBOR, specially during the period of the financial crisis of 2008. Our findings could be consistent with data manipulation. Preprint presented at XVIII Conference on Nonequilibrium Statistical Mechanics and Nonlinear Physics MEDYFINOL 2014. Macei\'o (AL), Brazil
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a8b3967dd2c5984805e27d1ddff18c7a http://arxiv.org/abs/1501.04123 Zobrazit plný text záznamu