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

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.