Libor市场中的（无形）手：信息论方法
The (in)visible hand in the Libor market: an Information Theory approach
摘要：
本文分析了1999年至2014年期间英国的几个利率时间序列。分析是使用金融文献中的一个开创性的统计工具：复杂性熵因果关系平面。这种表示能够对时间序列中不同的随机和混沌状态进行分类。我们使用滑动时间窗口来评估时间序列的内在随机动态的变化。Libor的异常行为被发现，特别是在上一次金融危机前后，这可能与数据操纵一致。
英文摘要：
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
