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

Vaiva Vasiliauskaite, Fabrizio Lillo, Nino Antulov-Fantulin
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
more » ... 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.
doi:10.1063/5.0080462 pmid:35489840 fatcat:45yfsy2fmjfodk5nhefrmdyb3i