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THE DYNAMICS OF PRICE-VOLUME INFORMATION TRANSFER IN THE CRYPTOCURRENCY MARKETS
Zheng, Jinglan1,2; Nie, Chun-xiao3
2020-08-01
Source PublicationADVANCES IN COMPLEX SYSTEMS
ISSN0219-5259
Volume23Issue:5Pages:16
AbstractThis study examines the information flow between prices and transaction volumes in the cryptocurrency market, where transfer entropy is used for measurement. We selected four cryptocurrencies (Bitcoin, Ethereum, Litecoin and XRP) with large market values, and Bitcoin and BCH (Bitcoin Cash) for hard fork analysis; a hard fork is when a single cryptocurrency splits in two. By examining the real price data, we show that the long-term time series includes too much noise obscuring the local information flow; thus, a dynamic calculation is needed. The long-term and short-term sliding transfer entropy (TE) values and the corresponding p-values, based on daily data, indicate that there is a dynamic information flow. The dominant direction of which is price-> volume. In addition, the example based on minute Bitcoin data also shows a dynamic flow of information between price and transaction volume. The price-volume dynamics of multiple time scales helps to analyze the price mechanism in the cryptocurrency market.
KeywordCryptocurrency information theory transfer entropy price transaction volume
DOI10.1142/S0219525920500149
WOS KeywordTRANSFER ENTROPY ; TRADING VOLUME ; STOCK RETURNS ; FLOW ; BITCOIN
Language英语
WOS Research AreaMathematics ; Science & Technology - Other Topics
WOS SubjectMathematics, Interdisciplinary Applications ; Multidisciplinary Sciences
WOS IDWOS:000620350600003
PublisherWORLD SCIENTIFIC PUBL CO PTE LTD
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Document Type期刊论文
Identifierhttp://ir.bao.ac.cn/handle/114a11/79593
Collection中国科学院国家天文台
Corresponding AuthorNie, Chun-xiao
Affiliation1.Chinese Acad Sci, Natl Astron Observ, Beijing 100101, Peoples R China
2.Univ Chinese Acad Sci, Beijing 100049, Peoples R China
3.Zhejiang Gongshang Univ, Inst Quantitat Econ, Sch Stat & Math, Hangzhou 310018, Peoples R China
Recommended Citation
GB/T 7714
Zheng, Jinglan,Nie, Chun-xiao. THE DYNAMICS OF PRICE-VOLUME INFORMATION TRANSFER IN THE CRYPTOCURRENCY MARKETS[J]. ADVANCES IN COMPLEX SYSTEMS,2020,23(5):16.
APA Zheng, Jinglan,&Nie, Chun-xiao.(2020).THE DYNAMICS OF PRICE-VOLUME INFORMATION TRANSFER IN THE CRYPTOCURRENCY MARKETS.ADVANCES IN COMPLEX SYSTEMS,23(5),16.
MLA Zheng, Jinglan,et al."THE DYNAMICS OF PRICE-VOLUME INFORMATION TRANSFER IN THE CRYPTOCURRENCY MARKETS".ADVANCES IN COMPLEX SYSTEMS 23.5(2020):16.
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