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This chapter provides a high-level introduction to the concept of entropy and hints at its potential applications in the field of finance. The significance of this study is discussed, and a literature review is provided. After that, the study's aims and methodology are broken down in detail. The limitations of the study and the structure of the individual chapters of the thesis are discussed here. A non-linear dependence in financial time series has been often cited as a finding in the financial literature. There is a non-linear structure to stock returns across stock markets. It's possible that factors like the stock market's microstructure, investor herding behavior, the market's inability to quickly react to new information, the variety of ways investors analyze data, the cost of individual trades, and so on all play a role in this phenomenon. Time routes can become quite convoluted, making the system appear to be random, even while the underlying linkages are quite basic and non-linear.