| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 10481679 | Physica A: Statistical Mechanics and its Applications | 2013 | 7 Pages |
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Ryuji Ishizaki, Masayoshi Inoue,