  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.
