FinEntropyBench: What Does Entropy Tell Us About Market Efficiency?

Presents a benchmark for checking whether entropy measures estimate their intended quantities and whether those measurements support claims about financial market efficiency. Uses controlled processes with known reference values, 16 real market series, econometric tests, and prospective trading evaluations. Single-author paper accepted to the 7th ACM International Conference on AI in Finance (ICAIF 2026). This upload is the author-identified manuscript, not the final ACM version of record.

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Publication Details

Journal
Zenodo (CERN European Organization for Nuclear Research)
Published
2026-10-14
DOI
https://doi.org/10.5281/zenodo.23377380
Primary Topic
Financial Markets and Investment Strategies
Type
preprint
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preprint

FinEntropyBench: What Does Entropy Tell Us About Market Efficiency?

Idrees Mustafa Aziz
Zenodo (CERN European Organization for Nuclear Research)
Financial Markets and Investment Strategies
preprint

FinEntropyBench: What Does Entropy Tell Us About Market Efficiency?

Idrees Mustafa Aziz
preprint en

Abstract

Presents a benchmark for checking whether entropy measures estimate their intended quantities and whether those measurements support claims about financial market efficiency. Uses controlled processes with known reference values, 16 real market series, econometric tests, and prospective trading evaluations. Single-author paper accepted to the 7th ACM International Conference on AI in Finance (ICAIF 2026). This upload is the author-identified manuscript, not the final ACM version of record.

Zenodo (CERN European Organization for Nuclear Research)
Middle East Technical University (TR)
Financial Markets and Investment Strategies
DOIOpen Access PDFOpenAlex
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