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.
翻译：我们研究了2017-2018年泡沫期最大的比特币交换市场之间的信息动态。通过分析高频市场-微观结构观测数据,并用不同的信息理论计量动态系统,我们发现了跨市场信息共享方面的时间变化。特别是,我们研究了可预测性、记忆和同步连接等时间变化的组成部分,这些变化是以传输信封、积极信息存储和多信息来衡量的。通过将这些经验调查结果与几个模型进行比较,我们提出,某些结果可能与市场内部和市场间制度变化以及不同市场之间信息流动方向的变化有关。
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