An Intrinsic Entropy Model for Exchange-Traded Securities

This article introduces an intrinsic entropy model that can be used as an indicator to gauge investor interest in a given exchange-traded security, along with the state of the general market corroborated by individual security trade data. Although the syntagma of intrinsic entropy might sound somehow pleonastic, since entropy itself characterizes the fundamentals of a system, we would like to make a clear distinction between entropy models based on the values that a random variable may take and ...