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 [Formula: see text]-values, based on daily data, indicate that there is a dynamic information flow. The dominant direction of which is [Formula: see text]. 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.

中文翻译：

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加密货币市场中价格-交易量信息传递的动态

本研究检查了加密货币市场中价格和交易量之间的信息流，其中转移熵用于测量。我们选择了四种市值较大的加密货币（比特币、以太坊、莱特币和瑞波币），以及比特币和 BCH（比特币现金）进行硬分叉分析；硬分叉是指单个加密货币一分为二。通过检查真实价格数据，我们表明长期时间序列包含过多的噪声，掩盖了本地信息流；因此，需要进行动态计算。长期和短期的滑动传递熵（TE）值和对应的[公式：见正文]-值，基于每日数据，表明存在动态信息流。其中的主导方向是[公式：见正文]。此外，基于分钟比特币数据的示例还显示了价格和交易量之间的动态信息流。多个时间尺度的价量动态有助于分析加密货币市场的价格机制。