Revisiting the European sovereign bonds with a permutation-information-theory approach
- Autores
- Bariviera, Aurelio F.; Zunino, Luciano José; Guercio, María Belén; Martinez, Lisana B.; Rosso, Osvaldo Aníbal
- Año de publicación
- 2013
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- In this paper we study the evolution of the informational efficiency in its weak form for seventeen European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the hypothetical random behavior of these time series: the establishment of a common currency and a wide and deep financial crisis. In order to evaluate the informational efficiency we use permutation quantifiers derived from information theory. Specifically, time series are ranked according to two metrics that measure the intrinsic structure of their correlations: permutation entropy and permutation statistical complexity. These measures provide the rectangular coordinates of the complexity-entropy causality plane; the planar location of the time series in this representation space reveals the degree of informational efficiency. According to our results, the currency union contributed to homogenize the stochastic characteristics of the time series and produced synchronization in the random behavior of them. Additionally, the 2008 financial crisis uncovered differences within the apparently homogeneous European sovereign markets and revealed country-specific characteristics that were partially hidden during the monetary union heyday.
Centro de Investigaciones Ópticas - Materia
-
Información
Economía
informational efficiency
economy
permutation - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- http://creativecommons.org/licenses/by/4.0/
- Repositorio
- Institución
- Universidad Nacional de La Plata
- OAI Identificador
- oai:sedici.unlp.edu.ar:10915/138625
Ver los metadatos del registro completo
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Revisiting the European sovereign bonds with a permutation-information-theory approachBariviera, Aurelio F.Zunino, Luciano JoséGuercio, María BelénMartinez, Lisana B.Rosso, Osvaldo AníbalInformaciónEconomíainformational efficiencyeconomypermutationIn this paper we study the evolution of the informational efficiency in its weak form for seventeen European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the hypothetical random behavior of these time series: the establishment of a common currency and a wide and deep financial crisis. In order to evaluate the informational efficiency we use permutation quantifiers derived from information theory. Specifically, time series are ranked according to two metrics that measure the intrinsic structure of their correlations: permutation entropy and permutation statistical complexity. These measures provide the rectangular coordinates of the complexity-entropy causality plane; the planar location of the time series in this representation space reveals the degree of informational efficiency. According to our results, the currency union contributed to homogenize the stochastic characteristics of the time series and produced synchronization in the random behavior of them. Additionally, the 2008 financial crisis uncovered differences within the apparently homogeneous European sovereign markets and revealed country-specific characteristics that were partially hidden during the monetary union heyday.Centro de Investigaciones Ópticas2013-12-16info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionArticulohttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfhttp://sedici.unlp.edu.ar/handle/10915/138625enginfo:eu-repo/semantics/altIdentifier/issn/1434-6028info:eu-repo/semantics/altIdentifier/issn/1434-6036info:eu-repo/semantics/altIdentifier/doi/10.1140/epjb/e2013-40660-7info:eu-repo/semantics/openAccesshttp://creativecommons.org/licenses/by/4.0/Creative Commons Attribution 4.0 International (CC BY 4.0)reponame:SEDICI (UNLP)instname:Universidad Nacional de La Platainstacron:UNLP2025-09-29T11:31:52Zoai:sedici.unlp.edu.ar:10915/138625Institucionalhttp://sedici.unlp.edu.ar/Universidad públicaNo correspondehttp://sedici.unlp.edu.ar/oai/snrdalira@sedici.unlp.edu.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:13292025-09-29 11:31:52.382SEDICI (UNLP) - Universidad Nacional de La Platafalse |
dc.title.none.fl_str_mv |
Revisiting the European sovereign bonds with a permutation-information-theory approach |
title |
Revisiting the European sovereign bonds with a permutation-information-theory approach |
spellingShingle |
Revisiting the European sovereign bonds with a permutation-information-theory approach Bariviera, Aurelio F. Información Economía informational efficiency economy permutation |
title_short |
Revisiting the European sovereign bonds with a permutation-information-theory approach |
title_full |
Revisiting the European sovereign bonds with a permutation-information-theory approach |
title_fullStr |
Revisiting the European sovereign bonds with a permutation-information-theory approach |
title_full_unstemmed |
Revisiting the European sovereign bonds with a permutation-information-theory approach |
title_sort |
Revisiting the European sovereign bonds with a permutation-information-theory approach |
dc.creator.none.fl_str_mv |
Bariviera, Aurelio F. Zunino, Luciano José Guercio, María Belén Martinez, Lisana B. Rosso, Osvaldo Aníbal |
author |
Bariviera, Aurelio F. |
author_facet |
Bariviera, Aurelio F. Zunino, Luciano José Guercio, María Belén Martinez, Lisana B. Rosso, Osvaldo Aníbal |
author_role |
author |
author2 |
Zunino, Luciano José Guercio, María Belén Martinez, Lisana B. Rosso, Osvaldo Aníbal |
author2_role |
author author author author |
dc.subject.none.fl_str_mv |
Información Economía informational efficiency economy permutation |
topic |
Información Economía informational efficiency economy permutation |
dc.description.none.fl_txt_mv |
In this paper we study the evolution of the informational efficiency in its weak form for seventeen European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the hypothetical random behavior of these time series: the establishment of a common currency and a wide and deep financial crisis. In order to evaluate the informational efficiency we use permutation quantifiers derived from information theory. Specifically, time series are ranked according to two metrics that measure the intrinsic structure of their correlations: permutation entropy and permutation statistical complexity. These measures provide the rectangular coordinates of the complexity-entropy causality plane; the planar location of the time series in this representation space reveals the degree of informational efficiency. According to our results, the currency union contributed to homogenize the stochastic characteristics of the time series and produced synchronization in the random behavior of them. Additionally, the 2008 financial crisis uncovered differences within the apparently homogeneous European sovereign markets and revealed country-specific characteristics that were partially hidden during the monetary union heyday. Centro de Investigaciones Ópticas |
description |
In this paper we study the evolution of the informational efficiency in its weak form for seventeen European sovereign bonds time series. We aim to assess the impact of two specific economic situations in the hypothetical random behavior of these time series: the establishment of a common currency and a wide and deep financial crisis. In order to evaluate the informational efficiency we use permutation quantifiers derived from information theory. Specifically, time series are ranked according to two metrics that measure the intrinsic structure of their correlations: permutation entropy and permutation statistical complexity. These measures provide the rectangular coordinates of the complexity-entropy causality plane; the planar location of the time series in this representation space reveals the degree of informational efficiency. According to our results, the currency union contributed to homogenize the stochastic characteristics of the time series and produced synchronization in the random behavior of them. Additionally, the 2008 financial crisis uncovered differences within the apparently homogeneous European sovereign markets and revealed country-specific characteristics that were partially hidden during the monetary union heyday. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-12-16 |
dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Articulo http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
format |
article |
status_str |
publishedVersion |
dc.identifier.none.fl_str_mv |
http://sedici.unlp.edu.ar/handle/10915/138625 |
url |
http://sedici.unlp.edu.ar/handle/10915/138625 |
dc.language.none.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
info:eu-repo/semantics/altIdentifier/issn/1434-6028 info:eu-repo/semantics/altIdentifier/issn/1434-6036 info:eu-repo/semantics/altIdentifier/doi/10.1140/epjb/e2013-40660-7 |
dc.rights.none.fl_str_mv |
info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/4.0/ Creative Commons Attribution 4.0 International (CC BY 4.0) |
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openAccess |
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http://creativecommons.org/licenses/by/4.0/ Creative Commons Attribution 4.0 International (CC BY 4.0) |
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application/pdf |
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