THE DYNAMICS OF PRICE-VOLUME INFORMATION TRANSFER IN THE CRYPTOCURRENCY MARKETS

Zheng, JL; Nie, CX

Nie, CX (corresponding author), Zhejiang Gongshang Univ, Inst Quantitat Econ, Sch Stat & Math, Hangzhou 310018, Peoples R China.

ADVANCES IN COMPLEX SYSTEMS, 2020; 23 (5):

Abstract

This study examines the information flow between prices and transaction volumes in the cryptocurrency market, where transfer entropy is used for measu......

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