EconPapers    
Economics at your fingertips  
 

Data manipulation detection via permutation information theory quantifiers

Aurelio Fernandez Bariviera (), M. Bel\'en Guercio and Lisana B. Martinez

Papers from arXiv.org

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.

Date: 2015-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
http://arxiv.org/pdf/1501.04123 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1501.04123

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().

 
Page updated 2020-01-16
Handle: RePEc:arx:papers:1501.04123