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

Electron beam melting of Ti-6Al-4V lattice structures: correlation between post heat treatment and mechanical properties

Additive manufacturing processes are considered advanced manufacturing methods. It would be possible to produce complex shape components from a computer-aided design model in a layer-by-layer manner. As one of the complex geometries, lattice structures could attract lots of attention for both medical and industrial applications. In these structures, besides cell size and cell type, the microstructure of lattice structures can play a key role in these structures’ mechanical performance. On the other hand, heat treatment has a significant influence on the mechanical properties of the material. Therefore, in this work, the effect of the heat treatments on the microstructure and mechanical behaviour of Ti-6Al-4V lattice structures manufactured by electron beam melting was analysed. The main mechanical properties were compared with the Ashby and Gibson model. It is very interesting to notice that a more homogeneous failure mode was found for the heat-treated samples. The structures’ relative density was the main factor influencing the mechanical performance of the heat-treated samples. It is also found that the heat treatments were able to preserve the stiffness and the compressive strength of the lattice structures. Besides, an increment of both the elongation at failure and the absorbed energy was obtained after the heat treatments. Microstructure analysis of the heat-treated samples confirms the increment of ductility of the heat-treated samples with respect to the as-built one

The Effects of Bank Constraints on Alternative Finance

El objetivo de este trabajo es analizar si las PyMEs que enfrentan restricciones para acceder al crédito bancario, utilizan financiamiento alternativo. Para ello se utilizó la WBES (World Bank Enterprise Survey) para 2330 empresas de siete países latinoamericanos en el año 2017. Se estimó un modelo Logit Binario. Los resultados muestran que la utilización de financiamiento alternativo aumenta cuando las empresas tienen limitaciones de oferta para acceder al crédito bancario. En cambio, cuando las restricciones provienen del lado de la demanda, los resultados difieren. La principal contribución de este trabajo es evaluar la problemática del acceso al financiamiento de las PyMEs desde una perspectiva diferente, analizando las limitaciones en función de la utilización de financiamiento alternativo, e incorporando instrumentos novedosos, como los préstamos personales, cuyo tratamiento en la literatura es escasoThe objective of this paper is to analyze bank lending constrained SMEs are more likely to use alternative financing. For this purpose, the WBES was used, which contains almost 2330 companies in seven Latin American countries for 2017. A Binary Logit model was estimated. The results show that the use of alternative financing increases when firms have supply constraints to access bank credit. In contrast, when the restrictions come from the demand side, the results differ. The main contribution of this work is to evaluate the problem of access to financing for SMEs from a different perspective, analysing the constraints on the use of alternative financing and incorporating innovative instruments, such as personal loans, which are rarely discussed in the literatur

Financiamiento externo desde una perspectiva de género

En términos generales, se estima que las empresas dirigidas por mujeres recurren al financiamiento externo en menor proporción a las empresas dirigidas por hombres. Además, dadas sus características y a la escasa demanda de financiamiento por parte de ellas, las primeras presentan mayores limitaciones para acceder al financiamiento externo en comparación con las segundas. En el presente trabajo se analiza la relación existente entre las fuentes de financiamiento utilizadas y el género del gerente de la empresa. Para ello se realiza un análisis bivariado que incluye datos para el año 2010 de 866 Micro, Pequeñas y Medianas Empresas argentinas. De acuerdo con los resultados, el acceso a las fuentes de financiamiento para las empresas dirigidas por mujeres se ve limitado principalmente, por las características de sus empresas: son más pequeñas, se inscriben con formas legales que no implican responsabilidad patrimonial, tienen mayor presencia de familiares en la empresa y pertenecen principalmente al sector servicios. Se concluye que el perfil de las empresas dirigidas por mujeres podría ser una causa, y al mismo tiempo, una consecuencia del menor uso y acceso al financiamiento externo.In general terms, it is estimated that companies run by women resort to external financing in a minor proportion compared to those run by men. In addition, given their characteristics and the scarce financing demand, the first ones present greater limitations to external financing access in comparison with the second ones. In the present study, the existent relation between de financing sources utilized and the gender of the company manager is analyzed. This is done through a bivariated analysis that includes 2010 data from 866 micro, small and mid-sized Argentinean enterprises. According to de results, the access to financing sources for women-run companies is limited principally due to the characteristics of their companies: They are smaller ones, they are registered with legal forms that do not imply patrimonial responsibility, they have more family presence in the company and they belong mostly to the services sector. It is concluded that the profile of the companies run by women could be a reason and at the same time, a consequence of the minor use and access to external financing

Energy Efficiency in Historic Architecture: The “Ex Institute of Zoology and Comparative Anatomy” in Palermo

In Italy, a large part of the buildings classified as historical-artistic heritage is in a state of degradation and requires urgent interventions. Among the needs, a reduction in the high energy consumption and an improvement of the indoor comfort are mandatory. The case study of the "Ex Institute of Zoology of Palermo" shows how it is possible to achieve a reduction in energy consumption and preserve the building's historicity through the estimation of energy loads and the subsequent processing. To quantify the energy savings of the structure, it was necessary to follow a few steps, namely an inspection of the building and an evaluation of its consumption. To elaborate a correct energy analysis, the thermal conductance was calculated by considering measurements over a period of 60 days and proceeding with the calculation of the transmittance. The resulting data are imported in the energy model developed with the TERMUS BIM software. In the case study, a potential energy saving equal to 35% of the current energy consumption can be avoided by replacing the lamps with LED ones, installing photovoltaic panels, replacing the heat pumps with a centralized system and the current fixtures with double thermal break fixtures. These interventions are implemented in compliance with the architectural peculiarities