Information Science, Finance, Entropy, Risk Management, Trading Strategy.
Shannon entropy associated with the probability distribution { p₁ ,p₂ , … , pₖ} is defined as: where ∑ᵢᵏ pᵢ=1ᵢ. It measures our a priori ignorance, or equivalently the average information gain when we learn the value of a letter in the message. Claude Elwood Shannon: “The Father of Modern