比特币期货 ETF 市场的价量关系:信息视角

IF 1.3 4区 数学 Q3 MATHEMATICS, INTERDISCIPLINARY APPLICATIONS Discrete Dynamics in Nature and Society Pub Date : 2024-03-31 DOI:10.1155/2024/8066742
Xudong Wang, Xiaofeng Hui
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引用次数: 0

摘要

比特币期货交易所交易基金(ETF)是加密货币投资领域的最新创新。本文从信息的角度研究了该市场的价量关系。我们首先提出了估算精度更高的有效互信息来分析同期关系。利用全球最大的比特币期货 ETF 的半小时交易数据,我们发现交易量变化和收益包含彼此的信息,并且具有同期依赖性。然后,我们利用有效转移熵来研究时际关系。结果表明,在大部分样本期内,交易量变化与收益率之间存在信息传递,这表明存在收益率可预测性和市场低效率。然而,相反方向的信息转移出现的频率要低得多,而且数量通常也较少。
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Price-Volume Relationship in Bitcoin Futures ETF Market: An Information Perspective
Bitcoin futures exchange-traded funds (ETFs) are recent innovations in cryptocurrency investment. This article studies the price-volume relationship in this market from an information perspective. We first propose effective mutual information which has better estimation accuracy to analyze the contemporaneous relationship. Using half-hourly trading data of the world’s largest Bitcoin futures ETF, we find that trading volume changes and returns contain information about each other and are contemporaneously dependent. Then, we employ effective transfer entropy to examine the intertemporal relationship. The results show that there exists information transfer from volume changes to returns in most of our sample period, suggesting the presence of return predictability and market inefficiency. However, information transfer in the opposite direction occurs much less frequently, and the amount is typically smaller.
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来源期刊
Discrete Dynamics in Nature and Society
Discrete Dynamics in Nature and Society 综合性期刊-数学跨学科应用
CiteScore
3.00
自引率
0.00%
发文量
598
审稿时长
3 months
期刊介绍: The main objective of Discrete Dynamics in Nature and Society is to foster links between basic and applied research relating to discrete dynamics of complex systems encountered in the natural and social sciences. The journal intends to stimulate publications directed to the analyses of computer generated solutions and chaotic in particular, correctness of numerical procedures, chaos synchronization and control, discrete optimization methods among other related topics. The journal provides a channel of communication between scientists and practitioners working in the field of complex systems analysis and will stimulate the development and use of discrete dynamical approach.
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