PT  - JOURNAL ARTICLE
AU  - Levan Efremidze
AU  - Darrol J. Stanley
AU  - Michael D. Kinsman
TI  - Stock Market Timing with Entropy
AID  - 10.3905/jwm.2015.18.3.057
DP  - 2015 Oct 31
TA  - The Journal of Wealth Management
PG  - 57--67
VI  - 18
IP  - 3
4099  - https://pm-research.com/content/18/3/57.short
4100  - https://pm-research.com/content/18/3/57.full
AB  - We examine the effectiveness of entropy analytics for stock market timing. The objective behind the study is to develop and facilitate market timing procedure by introducing a relatively untested investment methodology that could be pragmatically utilized in investment management. As an example, we implement sample entropy analysis on the Dubai index series. We find that sample entropy-based trading strategies deliver better risk-adjusted performance than the index buy and hold strategy during the back-testing period, which also included highly volatile market returns.TOPICS: Security analysis and valuation, emerging, quantitative methods, performance measurement