@article {Efremidze57, author = {Levan Efremidze and Darrol J. Stanley and Michael D. Kinsman}, title = {Stock Market Timing with Entropy}, volume = {18}, number = {3}, pages = {57--67}, year = {2015}, doi = {10.3905/jwm.2015.18.3.057}, publisher = {Institutional Investor Journals Umbrella}, abstract = {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}, issn = {1534-7524}, URL = {https://jwm.pm-research.com/content/18/3/57}, eprint = {https://jwm.pm-research.com/content/18/3/57.full.pdf}, journal = {The Journal of Wealth Management} }