Information dynamics of price and liquidity around the 2017 Bitcoin markets crash

【Author】 Vasiliauskaite, Vaiva; Lillo, Fabrizio; Antulov-Fantulin, Nino

【Source】CHAOS

【影响因子】3.741

【Abstract】We study information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analyzing high-frequency market microstructure observables with different information-theoretic measures for dynamical systems, we find temporal changes in information sharing across markets. In particular, we study time-varying components of predictability, memory, and (a)synchronous coupling, measured by transfer entropy, active information storage, and multi-information. By comparing these empirical findings with several models, we argue that some results could relate to intra-market and inter-market regime shifts and changes in the direction of information flow between different market observables. (C)& nbsp;2022 Author(s).

【Keywords】

【发表时间】2022 APR

【收录时间】2022-05-14

【文献类型】实证性文章

【主题类别】

区块链治理-市场治理-数字货币