ArticleEntropy (Basel, Switzerland)2021
An Entropy-Based Approach to Measurement of Stock Market Depth.
Article in Entropy (Basel, Switzerland), 2021. The graph could read no effect estimate from its abstract, so it casts no vote on the map. Cited by 8 papers.
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Who cites it
8 citing papers in PubMed.
- Iterative Forecasting of Financial Time Series: The Greek Stock Market from 2019 to 2024.Entropy (Basel, Switzerland) · 2025Article
- Analysis of the Spatiotemporal Heterogeneity and Influencing Factors of Regional Economic Resilience in China.Entropy (Basel, Switzerland) · 2024Article
- Inferring Dealer Networks in the Foreign Exchange Market Using Conditional Transfer Entropy: Analysis of a Central Bank Announcement.Entropy (Basel, Switzerland) · 2024Article
- Transaction Entropy: An Alternative Metric of Market Performance.Entropy (Basel, Switzerland) · 2023Article
- Entropy-Based Applications in Economics, Finance, and Management.Entropy (Basel, Switzerland) · 2022Article
- Regularity in Stock Market Indices within Turbulence Periods: The Sample Entropy Approach.Entropy (Basel, Switzerland) · 2022Article
- Twitter Sentiment Analysis and Influence on Stock Performance Using Transfer Entropy and EGARCH Methods.Entropy (Basel, Switzerland) · 2022Article
- Portfolio Optimization with a Mean-Absolute Deviation-Entropy Multi-Objective Model.Entropy (Basel, Switzerland) · 2021Article
Corrections and comments
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Authors and funding
2 authors.
Funding
Abstract
The aim of this study is to investigate market depth as a stock market liquidity dimension. A new methodology for market depth measurement exactly based on Shannon information entropy for high-frequency data is introduced and utilized. The proposed entropy-based market depth indicator is supported by an algorithm inferring the initiator of a trade. This new indicator seems to be a promising liquidity measure. Both market entropy and market liquidity can be directly measured by the new indicator. The findings of empirical experiments for real-data with a time stamp rounded to the nearest second from the Warsaw Stock Exchange (WSE) confirm that the new proxy enables us to effectively compare market depth and liquidity for different equities. Robustness tests and statistical analyses are conducted. Furthermore, an intra-day seasonality assessment is provided. Results indicate that the entropy-based approach can be considered as an auspicious market depth and liquidity proxy with an intuitive base for both theoretical and empirical analyses in financial markets.
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Registered trials
Read under generation 80e0d062 · epoch 390. Bibliography from PubMed, PubMed Central and OpenAlex; grants from NIH RePORTER; trial links from ClinicalTrials.gov; estimates, votes and beliefs from the OpenQuestion graph.