Scholarlink

<p>This paper investigates the application of Shannon entropy on intraday data as a criterion for asset preselection in portfolio selection strategy. We target US stocks from S&amp;P 500 index only during regular trading hours. Essentially, we propose a new performance ratio, which divides an asset’s return by its intraday uncertainty expressed by entropy. The portfolio is created applying an equal-weighted portfolio concept to achieve a balanced allocation. Furthermore, we evaluate portfolio performance statistics to assess risk-return profiles, volatility, and other relevant metrics, considering investments only during regular trading hours. We demonstrate that portfolios constructed using the proposed method exhibit an improvement in ex-post wealth paths compared to benchmarks. To ensure the robustness of our approach, we analyze the impact of different entropy computation settings, assess the marginal contribution of preselected assets, and test the performance.</p>

错误：搜索内容不能为空，请输入英文关键词
错误：关键词超出字数限制，请精简
高级检索

Applicability of Intraday Entropy for Trading During Regular Market Hours

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2026年4月9日

查看全文
  • David Neděla,
  • Aleš Kresta

摘要

This paper investigates the application of Shannon entropy on intraday data as a criterion for asset preselection in portfolio selection strategy. We target US stocks from S&P 500 index only during regular trading hours. Essentially, we propose a new performance ratio, which divides an asset’s return by its intraday uncertainty expressed by entropy. The portfolio is created applying an equal-weighted portfolio concept to achieve a balanced allocation. Furthermore, we evaluate portfolio performance statistics to assess risk-return profiles, volatility, and other relevant metrics, considering investments only during regular trading hours. We demonstrate that portfolios constructed using the proposed method exhibit an improvement in ex-post wealth paths compared to benchmarks. To ensure the robustness of our approach, we analyze the impact of different entropy computation settings, assess the marginal contribution of preselected assets, and test the performance.