is there any one one correspondence between an empty set and set of natural number $\Bbb N$

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Actually, I wants to know that how an empty set is finite.

If it's finite then it must have one to one correspondence to the segment of natural number.

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Yes, there is: given any set $S$, the empty map $\emptyset:\emptyset\to S$ is injective. If you want to go the "in bijection with an inital segment of $\Bbb N$" route, then the empty map is surjective if and only if $S=\emptyset$, and $\emptyset$ is an initial segment of $\Bbb N$ by all means.

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The empty set is a segment of the natural numbers. It's the segment that contains none of them.