Libor at crossroads: stochastic switching detection using information theory quantifiers

This paper studies the 28 time series of Libor rates, classified in seven maturities and four currencies), during the last 14 years. The analysis was performed using a novel technique in financial economics: the Complexity-Entropy Causality Plane. This planar representation allows the discrimination of different stochastic and chaotic regimes. Using a temporal analysis based on moving windows, this paper unveals an abnormal movement of Libor time series arround the period of the 2007 financial crisis. This alteration in the stochastic dynamics of Libor is contemporary of what press called "Libor scandal", i.e. the manipulation of interest rates carried out by several prime banks. We argue that our methodology is suitable as a market watch mechanism, as it makes visible the temporal redution in informational efficiency of the market.Comment: 17 pages, 9 figures. arXiv admin note: text overlap with arXiv:1508.04748, arXiv:1509.0021

The (in)visible hand in the Libor market: an Information Theory approach

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.Comment: PACS 89.65.Gh Econophysics; 74.40.De noise and chao

A permutation Information Theory tour through different interest rate maturities: the Libor case

This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2001 to 2015. The analysis is performed by means of two quantifiers derived from Information Theory: the permutation Shannon entropy and the permutation Fisher information measure. An anomalous behavior in the Libor is detected in all currencies except Euro during the years 2006--2012. The stochastic switch is more severe in 1, 2 and 3 months maturities. Given the special mechanism of Libor setting, we conjecture that the behavior could have been produced by the manipulation that was uncovered by financial authorities. We argue that our methodology is pertinent as a market overseeing instrument.Comment: arXiv admin note: text overlap with arXiv:1304.039

Technical trading and cryptocurrencies

This paper carries out a comprehensive examination of technical trading rules in cryptocurrency markets, using data from two Bitcoin markets and three other popular cryptocurrencies. We employ almost 15,000 technical trading rules from the main five classes of technical trading rules and find significant predictability and profitability for each class of technical trading rule in each cryptocurrency. We find that the breakeven transaction costs are substantially higher than those typically found in cryptocurrency markets. To safeguard against data-snooping, we implement a number of multiple hypothesis procedures which confirms our findings that technical trading rules do offer significant predictive power and profitability to investors. We also show that the technical trading rules offer substantially higher risk-adjusted returns than the simple buy-and-hold strategy, showing protection against lengthy and severe drawdowns associated with cryptocurrency markets. However there is no predictability for Bitcoin in the out-of-sample period, although predictability remains in other cryptocurrency markets

High spatial heterogeneity of water stress levels in Refošk grapevines cultivated in Classical Karst

Grapevines are being challenged by climate changes, forcing winemakers to implement irrigation systems to cope with excessive water stress. Previous studies focused on a small set of international varieties, and only few data are available for terroirs hosting cultivars with possibly different responses to drought stress. In this light, we monitored grapevine water status and grape's physical and chemical composition, as well as concentration and structural characteristics of grape extractable polyphenols, in ten different Refošk vineyards located in the Classical Karst terroir during 2018 and 2019. Grapevines did not suffer severe stress during the two years, but their response to water shortage periods was highly heterogeneous, as pre-dawn (Ψpd) and minimum (Ψmin) leaf water potential significantly differed between vineyards, especially during the drier part of the season. Moreover, the timing of maximum water stress differed in the two years, as in 2019 longer water shortage periods and higher temperature occurred at flowering stage and before veraison, while in 2018 they were higher after veraison. These differences influenced berry's quality, as titratable and malic acid concentration in juice, as well as total anthocyanin, total polyphenols and higher high molecular weight proanthocyanidins (HMWP) concentration in skins, were higher in 2019 than in 2018. Regarding seed proanthocyanidins, HMWP concentration, mean degree of polymerisation (mDP) and percentage of galloylation (G) in seeds were higher in 2018 than in 2019. The differences in water status measured in spatially close-related vineyards strongly support the importance of monitoring grapevines’ water status dynamics to design adequate and effective water management activities rather than relying on climate data solely. Moreover, the timing of water shortage periods also played a role in determining Refošk grape quality. Our analyses showed that the higher (but still moderate, with Ψpd and Ψmin mean values around −0.50 and −1.25 MPa, respectively) water stress between veraison and harvest occurred in 2018 might reduce Refošk grape acidity and increase concentration, polymerisation and galloylation of seed extractable proanthocyanidins