Alternative Risk Measures and Stock Selection

22 Pages Posted: 5 Apr 2015

See all articles by Euan Sinclair

Euan Sinclair

FactorWave; Bluefin Trading

Saarthak Gupta

Bluefin Trading

Date Written: April 2, 2015

Abstract

Uncertainty is generally avoided when investing. Volatility is a popular proxy for investment uncertainty, and indeed low volatility stocks outperform high volatility stocks. However, there are also many other possible measures of uncertainty, among which are entropy and the Hurst exponent. Here we show that these measures also predict groups of stocks that outperform.

Keywords: hurst exponent, entropy, risk, volatility, anomalies, stock selection

JEL Classification: G11, G14

Suggested Citation

Sinclair, Euan and Gupta, Saarthak, Alternative Risk Measures and Stock Selection (April 2, 2015). Available at SSRN: https://ssrn.com/abstract=2589032 or http://dx.doi.org/10.2139/ssrn.2589032

Euan Sinclair (Contact Author)

FactorWave ( email )

CHICAGO, IL 60647
United States

HOME PAGE: http://www.factorwave.com

Bluefin Trading ( email )

440 South LaSalle
Suite 900
Chicago, IL 60605
United States

Saarthak Gupta

Bluefin Trading ( email )

440 South LaSalle
Suite 900
Chicago, IL 60605
United States

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