Purpose - We propose a risk factor for idiosyncratic entropy and explore the relationship between this factor and … expected stock returns. Design/methodology/approach - We estimate a cross-sectional model of expected entropy that uses several … common risk factors to predict idiosyncratic entropy. Findings - We find a negative relationship between expected …

optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As … options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model …