论文标题
交易所交易证券的内在熵模型
An Intrinsic Entropy Model for Exchange-Traded Securities
论文作者
论文摘要
本文介绍了一个内在的熵模型，该模型可以用作指标，以衡量投资者在给定交易所交易的安全性中的兴趣，以及由个别安全贸易数据证实的一般市场状况。尽管固有熵的含义可能以某种方式听起来有点胸膜，因为熵本身是系统的基本原理，但我们希望根据随机变量可能采用的值和我们提出的模型，在熵模型之间进行明确的区分，我们提出的模型采用了实际的证券交易所交易数据。我们为内在熵提出的模型不包括任何可能影响熵水平的外源因子。内在的熵信号是市场是否倾向于购买证券或出售安全。我们进一步探讨了算法交易的内在熵模型的使用，以证明我们的模型在协助投资者选择Intraday股票投资组合中的价值，以及及时生成的信号以支持买入 /卖出决策过程。测试结果提供了经验证据，表明所提出的固有熵模型可以用作评估交换交换安全性盘内交易活动的方向和强度的指标。用于测试的数据包括在布加勒斯特证券交易所（BVB）上执行的历史盘中交易。
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 the model that we propose, which employs actual stock exchange trading data. The model we propose for intrinsic entropy does not include any exogenous factor that could influence the level of entropy. The intrinsic entropy signals whether the market is inclined to buy the security or rather to sell it. We further explore the usage of the intrinsic entropy model for algorithmic trading, in order to demonstrate the value of our model in assisting investors in the selection of the intraday stock portfolio, along with timely generated signals to support the buy / sell decision making process. The test results provide empirical evidence that the proposed intrinsic entropy model can be used as an indicator to evaluate the direction and intensity of intraday trading activity of an exchange-traded security. The data used for the test consisted of historical intraday transactions executed on The Bucharest Stock Exchange (BVB).
