{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T13:32:16Z","timestamp":1787319136850,"version":"build-2736575974"},"reference-count":39,"publisher":"MDPI AG","issue":"5","license":[{"start":{"date-parts":[[2017,5,16]],"date-time":"2017-05-16T00:00:00Z","timestamp":1494892800000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/creativecommons.org\/licenses\/by\/4.0\/"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["Entropy"],"abstract":"<jats:p>In this paper we investigate the relationship between the information entropy of the distribution of intraday returns and intraday and daily measures of market risk. Using data on the EUR\/JPY exchange rate, we find a negative relationship between entropy and intraday Value-at-Risk, and also between entropy and intraday Expected Shortfall. This relationship is then used to forecast daily Value-at-Risk, using the entropy of the distribution of intraday returns as a predictor.<\/jats:p>","DOI":"10.3390\/e19050226","type":"journal-article","created":{"date-parts":[[2017,5,16]],"date-time":"2017-05-16T11:42:11Z","timestamp":1494934931000},"page":"226","update-policy":"https:\/\/doi.org\/10.3390\/mdpi_crossmark_policy","source":"Crossref","is-referenced-by-count":40,"title":["Information Entropy and Measures of Market Risk"],"prefix":"10.3390","volume":"19","author":[{"ORCID":"https:\/\/orcid.org\/0000-0002-5891-5495","authenticated-orcid":false,"given":"Daniel","family":"Pele","sequence":"first","affiliation":[{"name":"Department of Statistics and Econometrics, Bucharest University of Economic Studies, Piata Romana 6, Bucharest 010371, Romania"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Emese","family":"Lazar","sequence":"additional","affiliation":[{"name":"ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading RG6 6BA, UK"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Alfonso","family":"Dufour","sequence":"additional","affiliation":[{"name":"ICMA Centre, Henley Business School, University of Reading, Whiteknights, Reading RG6 6BA, UK"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"1968","published-online":{"date-parts":[[2017,5,16]]},"reference":[{"key":"ref_1","doi-asserted-by":"crossref","first-page":"305","DOI":"10.1016\/S1355-2198(01)00016-8","article-title":"Bluff your way in the second law of thermodynamics","volume":"32","author":"Uffink","year":"2001","journal-title":"Stud. 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