I am doing my research to identify relationship between Information theory and share market. It would be great to know if some one here doing the same kind of research which will help in sharing ideas to each other.
Basically you can find a chapter in the book entitled "Elements of Information Theory" by Thomas M. Cover, Joy A. Thomas. The chapter's title is information theory and stock market.
You may also find a paper using the link:
http://web.unbc.ca/~chenj/papers/info.pdf
Thank you so much for your response i have a copy of it but u need more review to understand about its application
Yaa you are right @Song yue . So r u doing your research in this? and share me more about ur research.
I like your question. We all wish we had a prediction method for the stock market.
R. Grover Brown (retired) of Iowa State University (my colleague) did research on information theory and prediction in the stock market. He told me that none of his research produced a successful predictor. The problem with the stock market is that it is not an ergodic nor stationary process. Many mathematical approaches to prediction require both of these. The market changes in response to rumors, wars, government policy, etc. None of these can be modeled.
Good luck.
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