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Data manipulation detection via permutation information theory quantifiers

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  • Aurelio Fernandez Bariviera
  • M. Bel'en Guercio
  • Lisana B. Martinez

Abstract

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.

Suggested Citation

  • Aurelio Fernandez Bariviera & M. Bel'en Guercio & Lisana B. Martinez, 2015. "Data manipulation detection via permutation information theory quantifiers," Papers 1501.04123, arXiv.org.
    • Handle: RePEc:arx:papers:1501.04123
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    References listed on IDEAS

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    11. Zunino, Luciano & Fernández Bariviera, Aurelio & Guercio, M. Belén & Martinez, Lisana B. & Rosso, Osvaldo A., 2012. "On the efficiency of sovereign bond markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(18), pages 4342-4349.
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    Cited by:

    1. Dániel Horváth & Eszter Makay, 2015. "Analysis methodology of interbank reference rates - International trends and the results of the first Hungarian annual statistical analysis for 2014," Financial and Economic Review, Magyar Nemzeti Bank (Central Bank of Hungary), vol. 14(2), pages 62-88.
    2. Bariviera, Aurelio F. & Martín, María T. & Plastino, Angelo & Vampa, Victoria, 2016. "LIBOR troubles: Anomalous movements detection based on maximum entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 401-407.
    3. Aurelio F. Bariviera & M. Belen Guercio & Lisana B. Martinez & Osvaldo A. Rosso, 2015. "A permutation Information Theory tour through different interest rate maturities: the Libor case," Papers 1509.00217, arXiv.org.
    4. repec:cbh:journl:v:14:y:2015:i:2:p:62-88 is not listed on IDEAS

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