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.

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.
Vasiliauskaite, Vaiva; Lillo, Fabrizio; Antulov-Fantulin, Nino
File in questo prodotto:
File Dimensione Formato  
5.0080462.pdf

accesso aperto

Tipo: Versione (PDF) editoriale
Licenza: Licenza per Accesso Aperto. Creative Commons Attribuzione (CCBY)
Dimensione 6.17 MB
Formato Adobe PDF
6.17 MB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11585/883453
Citazioni
  • ???jsp.display-item.citation.pmc??? 0
  • Scopus 0
  • ???jsp.display-item.citation.isi??? 0
social impact