---
title: Idiosyncratic Entropy and Stock Returns
url: https://www.ml-quant.com/papers/ssrn/4868859/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4868859
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4868859
featured: 2024-06-20
citations: unknown
topic: Derivatives & Volatility
---


# Idiosyncratic Entropy and Stock Returns

The research introduces a risk factor for idiosyncratic entropy and reveals a negative correlation between expected idiosyncratic entropy and returns, providing insight into the idiosyncratic volatility puzzle.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4868859
- Identifier: SSRN 4868859
- Released: 2024-06-01
- First featured: Quant Letter No. 54 (2024-06-20): https://www.ml-quant.com/issues/2024-06-20/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

## Related

- [Risk Revisited](https://www.ml-quant.com/papers/ssrn/4825844/): The study identifies recency, cluster, and sign as three factors shaping investors' risk perceptions of a stock, influencing trading volume and future volatility.
- [Rough Volatility: Fact or Artefact?](https://www.ml-quant.com/papers/arxiv/2203.13820/): Fact or Artifact: The study proposes a new method to estimate the roughness of financial asset volatility, attributing observed roughness to microstructure noise.
- [Operator Deep Smoothing for Implied Volatility](https://www.ml-quant.com/papers/arxiv/2406.11520/): A novel method for smoothing implied volatility using neural operators is presented, which maps data to smoothed surfaces, respects no-arbitrage rules, and is robust to input subsampling.
- [Computation of Robust Option Prices via Structured Multimarginal Martingale Optimal Transport](https://www.ml-quant.com/papers/arxiv/2406.09959/): The article introduces an efficient computational framework for solving complex multi-marginal martingale optimal transport problems quickly and optimally.
- [A Novel Approach to Queue-Reactive Models: The Importance of Order Sizes](https://www.ml-quant.com/papers/arxiv/2405.18594/): The queue-reactive model has been expanded to include order sizes, types, and arrival rates, creating simulated markets that closely mirror real markets and exhibit similar volatility.
- [Subleading Correction to the Asian Options Volatility in the Black-Scholes Model](https://www.ml-quant.com/papers/doi/10-1142-s021902492350005x/): The study improves the pricing accuracy of Asian options by deriving the subleading correction to the implied volatility in the Black-Scholes model, which is determined by the large deviations property for the time-average of the geometric Brownian motion.