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

Vaiva Vasiliauskaite, Fabrizio Lillo and Nino Antulov-Fantulin

Papers from arXiv.org

Abstract: We study the information dynamics between the largest Bitcoin exchange markets during the bubble in 2017-2018. By analysing 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 the time-varying components of predictability, memory, and 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 direction of information flow between different market observables.

Date: 2021-11
New Economics Papers: this item is included in nep-cwa, nep-fmk, nep-mst and nep-pay
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/2111.09057 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2111.09057

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().