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This paper analyzes Libor interest rates for seven different maturities andreferred 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 twoquantifiers derived from Information Theory: the permutation Shannon entropyand the permutation Fisher information measure. An anomalous behavior in theLibor 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 thespecial mechanism of Libor setting, we conjecture that the behavior could havebeen produced by the manipulation that was uncovered by financial authorities.We argue that our methodology is pertinent as a market overseeing instrument.

philosophical transactions - royal society. mathematical, physical and engineering sciences/philosophical transactions - royal society. mathematical, physical and engineering sciences

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