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

Wavelets Applied to CMB Maps: a Multiresolution Analysis for Denoising

Analysis and denoising of Cosmic Microwave Background (CMB) maps are performed using wavelet multiresolution techniques. The method is tested on $12^{\circ}.8\times 12^{\circ}.8$ maps with resolution resembling the experimental one expected for future high resolution space observations. Semianalytic formulae of the variance of wavelet coefficients are given for the Haar and Mexican Hat wavelet bases. Results are presented for the standard Cold Dark Matter (CDM) model. Denoising of simulated maps is carried out by removal of wavelet coefficients dominated by instrumental noise. CMB maps with a signal-to-noise, $S/N \sim 1$, are denoised with an error improvement factor between 3 and 5. Moreover we have also tested how well the CMB temperature power spectrum is recovered after denoising. We are able to reconstruct the $C_{\ell}$'s up to $l\sim 1500$ with errors always below $20$ in cases with $S/N \ge 1$.Comment: latex file 9 pages + 5 postscript figures + 1 gif figure (figure 6), to be published in MNRA

Analytical Results for the Statistical Distribution Related to Memoryless Deterministic Tourist Walk: Dimensionality Effect and Mean Field Models

Consider a medium characterized by N points whose coordinates are randomly generated by a uniform distribution along the edges of a unitary d-dimensional hypercube. A walker leaves from each point of this disordered medium and moves according to the deterministic rule to go to the nearest point which has not been visited in the preceding \mu steps (deterministic tourist walk). Each trajectory generated by this dynamics has an initial non-periodic part of t steps (transient) and a final periodic part of p steps (attractor). The neighborhood rank probabilities are parameterized by the normalized incomplete beta function I_d = I_{1/4}[1/2,(d+1)/2]. The joint distribution S_{\mu,d}^{(N)}(t,p) is relevant, and the marginal distributions previously studied are particular cases. We show that, for the memory-less deterministic tourist walk in the euclidean space, this distribution is: S_{1,d}^{(\infty)}(t,p) = [\Gamma(1+I_d^{-1}) (t+I_d^{-1})/\Gamma(t+p+I_d^{-1})] \delta_{p,2}, where t=0,1,2,...,\infty, \Gamma(z) is the gamma function and \delta_{i,j} is the Kronecker's delta. The mean field models are random link model, which corresponds to d \to \infty, and random map model which, even for \mu = 0, presents non-trivial cycle distribution [S_{0,rm}^{(N)}(p) \propto p^{-1}]: S_{0,rm}^{(N)}(t,p) = \Gamma(N)/\{\Gamma[N+1-(t+p)]N^{t+p}\}. The fundamental quantities are the number of explored points n_e=t+p and I_d. Although the obtained distributions are simple, they do not follow straightforwardly and they have been validated by numerical experiments.Comment: 9 pages and 4 figure

On the Whitham hierarchy: dressing scheme, string equations and additional symmetrie

A new description of the universal Whitham hierarchy in terms of a factorization problem in the Lie group of canonical transformations is provided. This scheme allows us to give a natural description of dressing transformations, string equations and additional symmetries for the Whitham hierarchy. We show how to dress any given solution and prove that any solution of the hierarchy may be undressed, and therefore comes from a factorization of a canonical transformation. A particulary important function, related to the $\tau$-function, appears as a potential of the hierarchy. We introduce a class of string equations which extends and contains previous classes of string equations considered by Krichever and by Takasaki and Takebe. The scheme is also applied for an convenient derivation of additional symmetries. Moreover, new functional symmetries of the Zakharov extension of the Benney gas equations are given and the action of additional symmetries over the potential in terms of linear PDEs is characterized

On the Whitham hierarchy: dressing scheme, string equations and additional symmetrie

A new description of the universal Whitham hierarchy in terms of a factorization problem in the Lie group of canonical transformations is provided. This scheme allows us to give a natural description of dressing transformations, string equations and additional symmetries for the Whitham hierarchy. We show how to dress any given solution and prove that any solution of the hierarchy may be undressed, and therefore comes from a factorization of a canonical transformation. A particulary important function, related to the $\tau$-function, appears as a potential of the hierarchy. We introduce a class of string equations which extends and contains previous classes of string equations considered by Krichever and by Takasaki and Takebe. The scheme is also applied for an convenient derivation of additional symmetries. Moreover, new functional symmetries of the Zakharov extension of the Benney gas equations are given and the action of additional symmetries over the potential in terms of linear PDEs is characterized

An optimal estimator for the CMB-LSS angular power spectrum and its application to WMAP and NVSS data

We use a Quadratic Maximum Likelihood (QML) method to estimate the angular power spectrum of the cross-correlation between cosmic microwave background and large scale structure maps as well as their individual auto-spectra. We describe our implementation of this method and demonstrate its accuracy on simulated maps. We apply this optimal estimator to WMAP 7-year and NRAO VLA Sky Survey (NVSS) data and explore the robustness of the angular power spectrum estimates obtained by the QML method. With the correction of the declination systematics in NVSS, we can safely use most of the information contained in this survey. We then make use of the angular power spectrum estimates obtained by the QML method to derive constraints on the dark energy critical density in a flat $\Lambda$CDM model by different likelihood prescriptions. When using just the cross-correlation between WMAP 7 year and NVSS maps with 1.8$^\circ$ resolution, the best-fit model has a cosmological constant of approximatively 70% of the total energy density, disfavouring an Einstein-de Sitter Universe at more than 2 $\sigma$ CL (confidence level).Comment: 12 pages, 12 figure

Analysis of CMB maps with 2D wavelets

We consider the 2D wavelet transform with two scales to study sky maps of temperature anisotropies in the cosmic microwave background radiation (CMB). We apply this technique to simulated maps of small sky patches of size 12.8 \times 12.8 square degrees and 1.5' \times 1.5' pixels. The relation to the standard approach, based on the cl's is established through the introduction of the scalogram. We consider temperature fluctuations derived from standard, open and flat-Lambda CDM models. We analyze CMB anisotropies maps plus uncorrelated Gaussian noise (uniform and non-uniform) at idfferent S/N levels. We explore in detail the denoising of such maps and compare the results with other techniques already proposed in the literature. Wavelet methods provide a good reconstruction of the image and power spectrum. Moreover, they are faster than previously proposed methods.Comment: latex file 7 pages + 5 postscript files + 1 gif file; accepted for publication in A&A