Eur. Phys. J. B (2015) 88: 208
https://doi.org/10.1140/epjb/e2015-60410-1

Regular Article

The (in)visible hand in the Libor market: an information theory approach

¹ Department of Business, Universitat Rovira i Virgili. Av. Universitat 1, 43204 Reus, Spain
² Instituto de Investigaciones Económicas y Sociales del Sur, UNS-CONICET, 12 de Octubre y San Juan, B8000 CTX Bahía Blanca, Argentina
³ Universidad Provincial del Sudoeste (UPSO), Alvarado 328, B8000 CJH Bahía Blanca, Argentina
⁴ Instituto de Física, Universidade Federal de Alagoas (UFAL), BR 104 Norte km 97, 57072-970 Maceió, Alagoas, Brazil
⁵ Instituto Tecnológico de Buenos Aires (ITBA), Av. Eduardo Madero 399, C1106 ACD Ciudad Autónoma de Buenos Aires, Argentina

^a e-mail: aurelio.fernandez@urv.net

Received: 22 May 2015
Received in final form: 23 June 2015
Published online: 12 August 2015

Abstract

This paper analyzes several interest rates time series from the United Kingdom during the period 1999 to 2014. The analysis is carried out using a pioneering statistical tool in the financial literature: the complexity-entropy causality plane. This representation is able to classify different stochastic and chaotic regimes in time series. We use sliding temporal windows to assess changes in the intrinsic stochastic dynamics of the time series. Anomalous behavior in the Libor is detected, especially around the time of the last financial crisis, that could be consistent with data manipulation.