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

Ryuji Ishizaki and Masayoshi Inoue

Physica A: Statistical Mechanics and its Applications, 2018, vol. 490, issue C, 967-974

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 multiple foreign exchange rates. The time-dependent pattern entropy of 7 foreign exchange rates (AUD/USD, CAD/USD, CHF/USD, EUR/USD, GBP/USD, JPY/USD, and NZD/USD) was found to be high in the long period after the Lehman shock, and be low in the long period after Mar 2012. We compared the correlation matrix between exchange rates in periods of high and low of the time-dependent pattern entropy.

Keywords: Time-dependent pattern entropy; Financial time series; Exchange rate; Symbolic dynamics (search for similar items in EconPapers)
Date: 2018
References: View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:490:y:2018:i:c:p:967-974

DOI: 10.1016/j.physa.2017.08.144

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