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 infor- mation 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 mod- els, 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.

Vasiliauskaite, V., Lillo, F., Antulov-Fantulin, N. (2022). Information dynamics of price and liquidity around the 2017 Bitcoin markets crash. CHAOS, 32(4), 1-20 [10.1063/5.0080462].

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

Lillo, Fabrizio;
2022

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 infor- mation 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 mod- els, 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.
2022
Vasiliauskaite, V., Lillo, F., Antulov-Fantulin, N. (2022). Information dynamics of price and liquidity around the 2017 Bitcoin markets crash. CHAOS, 32(4), 1-20 [10.1063/5.0080462].
Vasiliauskaite, Vaiva; Lillo, Fabrizio; Antulov-Fantulin, Nino
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/883453
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