  This article introduces an intrinsic entropy model that can be used as an
indicator to gauge investor interest in a given exchange-traded security, along
with the state of the general market corroborated by individual security trade
data. Although the syntagma of intrinsic entropy might sound somehow
pleonastic, since entropy itself characterizes the fundamentals of a system, we
would like to make a clear distinction between entropy models based on the
values that a random variable may take and the model that we propose, which
employs actual stock exchange trading data. The model we propose for intrinsic
entropy does not include any exogenous factor that could influence the level of
entropy. The intrinsic entropy signals whether the market is inclined to buy
the security or rather to sell it. We further explore the usage of the
intrinsic entropy model for algorithmic trading, in order to demonstrate the
value of our model in assisting investors in the selection of the intraday
stock portfolio, along with timely generated signals to support the buy / sell
decision making process. The test results provide empirical evidence that the
proposed intrinsic entropy model can be used as an indicator to evaluate the
direction and intensity of intraday trading activity of an exchange-traded
security. The data used for the test consisted of historical intraday
transactions executed on The Bucharest Stock Exchange (BVB).
