The focus of this study is to develop theories that can underpin information mining on the web to produce reliable information and to assess the impact of existing methods on the behaviour of market prices using techniques that are based upon the concept of entropy.

The framework for the analysis will be provided by information theory. The major metrics will be constructed on the application of concepts related to Shannon entropy and cross entropy. The data for the study will be drawn from Thomson Reuters market data provided by The Securities Industry Research Centre of the Asia Pacific (SIRCA).

Working papers:

  • An entropy based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series,
  • Daily Market News Sentiment and Stock Prices.