| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5102466 | Physica A: Statistical Mechanics and its Applications | 2018 | 17 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 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Ryuji Ishizaki, Masayoshi Inoue,