TY - JOUR T1 - Stock Market Timing with Entropy JF - The Journal of Wealth Management SP - 57 LP - 67 DO - 10.3905/jwm.2015.18.3.057 VL - 18 IS - 3 AU - Levan Efremidze AU - Darrol J. Stanley AU - Michael D. Kinsman Y1 - 2015/10/31 UR - https://pm-research.com/content/18/3/57.abstract N2 - 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 ER -