{"title":"比特币期货 ETF 市场的价量关系:信息视角","authors":"Xudong Wang, Xiaofeng Hui","doi":"10.1155/2024/8066742","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":55177,"journal":{"name":"Discrete Dynamics in Nature and Society","volume":null,"pages":null},"PeriodicalIF":1.3000,"publicationDate":"2024-03-31","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Price-Volume Relationship in Bitcoin Futures ETF Market: An Information Perspective\",\"authors\":\"Xudong Wang, Xiaofeng Hui\",\"doi\":\"10.1155/2024/8066742\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":55177,\"journal\":{\"name\":\"Discrete Dynamics in Nature and Society\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":1.3000,\"publicationDate\":\"2024-03-31\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Discrete Dynamics in Nature and Society\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.1155/2024/8066742\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Discrete Dynamics in Nature and Society","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.1155/2024/8066742","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MATHEMATICS, INTERDISCIPLINARY APPLICATIONS","Score":null,"Total":0}
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.
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.