The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived froth physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series. which is defined as the scale in which the uncertainty is minimized, hence the pattern is revealed most. The MEDM is applied to the financial time series of Standard and Poor's 500 index from February 1983 to April 2006. Then the temporal behavior of structure scale is obtained and analyzed in relation to the information delivery time and efficient market hypothesis. (C) 2008 Elsevier B.V. All rights reserved.