IDEAS home Printed from https://ideas.repec.org/a/wsi/acsxxx/v23y2020i05ns0219525920500149.html
   My bibliography  Save this article

The Dynamics Of Price–Volume Information Transfer In The Cryptocurrency Markets

Author

Listed:
  • JINGLAN ZHENG

    (National Astronomy Observatories, Chinese Academy of Science, Beijing 100101, P. R. China2University of Chinese Academy of Science, Beijing 100049, P. R. China)

  • CHUN-XIAO NIE

    (Institute of Quantitative Economics, School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou 310018, P. R. China)

Abstract

This 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.

Suggested Citation

  • Jinglan Zheng & Chun-Xiao Nie, 2020. "The Dynamics Of Price–Volume Information Transfer In The Cryptocurrency Markets," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 23(05), pages 1-16, August.
    • Handle: RePEc:wsi:acsxxx:v:23:y:2020:i:05:n:s0219525920500149
    DOI: 10.1142/S0219525920500149
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219525920500149
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S0219525920500149?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:acsxxx:v:23:y:2020:i:05:n:s0219525920500149. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/acs/acs.shtml .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.