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

Author

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  • Ishizaki, Ryuji
  • Inoue, Masayoshi

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.

Suggested Citation

  • Ishizaki, Ryuji & Inoue, Masayoshi, 2013. "Time-series analysis of foreign exchange rates using time-dependent pattern entropy," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(16), pages 3344-3350.
    • Handle: RePEc:eee:phsmap:v:392:y:2013:i:16:p:3344-3350
    DOI: 10.1016/j.physa.2013.03.041
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    Citations

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    Cited by:

    1. Nikola Gradojevic & Marko Caric, 2017. "Predicting Systemic Risk with Entropic Indicators," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(1), pages 16-25, January.
    2. Nikola Gradojevic, 2021. "Brexit and foreign exchange market expectations: Could it have been predicted?," Annals of Operations Research, Springer, vol. 297(1), pages 167-189, February.
    3. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa & de Oliveira, Wilson & Stosic, Tatijana, 2016. "Foreign exchange rate entropy evolution during financial crises," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 233-239.
    4. Kamlesh Kumar Raghuvanshi & Arun Agarwal & Amit Kumar Singh & Khushboo Jain, 2023. "Time-dependent entropic analysis of software bugs," International Journal of System Assurance Engineering and Management, Springer;The Society for Reliability, Engineering Quality and Operations Management (SREQOM),India, and Division of Operation and Maintenance, Lulea University of Technology, Sweden, vol. 14(5), pages 1718-1725, October.
    5. Stosic, Darko & Stosic, Dusan & Ludermir, Teresa & Stosic, Tatijana, 2016. "Correlations of multiscale entropy in the FX market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 457(C), pages 52-61.

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