Time-series analysis of foreign exchange rates using time-dependent pattern entropy

Ryuji Ishizaki and Masayoshi Inoue

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 16, 3344-3350

Abstract: Time-dependent pattern entropy is a method that reduces variations to binary symbolic dynamics and considers the pattern of symbols in a sliding temporal window. We use this method to analyze the instability of daily variations in foreign exchange rates, in particular, the dollar–yen rate. The time-dependent pattern entropy of the dollar–yen rate was found to be high in the following periods: before and after the turning points of the yen from strong to weak or from weak to strong, and the period after the Lehman shock.

Keywords: Time-dependent pattern entropy; Financial time series; Exchange rate; Symbolic dynamics (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:16:p:3344-3350

DOI: 10.1016/j.physa.2013.03.041

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