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
SEDICI (UNLP)
Institución
Universidad Nacional de La Plata
OAI Identificador
oai:sedici.unlp.edu.ar:10915/138625

id SEDICI_2c841227204fadc92c87d6b6a5a71459
oai_identifier_str oai:sedici.unlp.edu.ar:10915/138625
network_acronym_str SEDICI
repository_id_str 1329
network_name_str SEDICI (UNLP)
spelling 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)
eu_rights_str_mv openAccess
rights_invalid_str_mv http://creativecommons.org/licenses/by/4.0/
Creative Commons Attribution 4.0 International (CC BY 4.0)
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:SEDICI (UNLP)
instname:Universidad Nacional de La Plata
instacron:UNLP
reponame_str SEDICI (UNLP)
collection SEDICI (UNLP)
instname_str Universidad Nacional de La Plata
instacron_str UNLP
institution UNLP
repository.name.fl_str_mv SEDICI (UNLP) - Universidad Nacional de La Plata
repository.mail.fl_str_mv alira@sedici.unlp.edu.ar
_version_ 1844616198283591680
score 13.070432