Revisiting the European sovereign bonds with a permutation-information-theory approach
- Fernández Bariviera, Aurelio
- Zunino, Luciano José
- Guercio, María Belén
- Martinez, Lisana Belén
- Rosso, Osvaldo Anibal
DOIAbstract
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 locati...
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