Related papers: One model is not enough: heterogeneity in cryptocu…
Longitudinal models with dynamics governed by differential equations may require numerical integration alongside parameter estimation. We have identified a situation where the numerical integration introduces error in such a way that it…
Multifractal detrended fluctuation analysis (MFDFA) has become a central method to characterise the variability and uncertainty in empiric time series. Extracting the fluctuations on different temporal scales allows quantifying the strength…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
Cryptocoins (i.e., Bitcoin, Ether, Litecoin) are tradable digital assets. Ownerships of cryptocoins are registered on distributed ledgers (i.e., blockchains). Secure encryption techniques guarantee the security of the transactions…
Cryptocurrency refers to a type of digital asset that uses distributed ledger, or blockchain, technology to enable a secure transaction. Although the technology is widely misunderstood, many central banks are considering launching their own…
Heterogeneity is a key aspect of complex networks, often emerging by looking at the distribution of node properties, from the milestone observations on the degree to the recent developments in mixing pattern estimation. Mixing patterns, in…
Cryptocurrencies are digital tokens built on blockchain technology, with thousands actively traded on centralized exchanges (CEXs). Unlike stocks, which are backed by real businesses, cryptocurrencies are recognized as a distinct class of…
Collisionless suspensions of inertial particles (finite-size impurities) are studied in 2D and 3D spatially smooth flows. Tools borrowed from the study of random dynamical systems are used to identify and to characterise in full generality…
Algorithm of multicurrency trading at the market of Forex is realized on the basis of nonlinear stochastic wavelets. The distinctive feature of the algorithm is the possibility of weakly- and strongly connected horizontal self-assemblies,…
Understanding the stochastic properties of conductance fluctuations in disordered mesoscopic systems is fundamental to quantum transport. In this work, we investigate the multifractal and ergodic properties of the fictitious time series of…
Forecasting cryptocurrency prices is hindered by extreme volatility and a methodological dilemma between information-scarce univariate models and noise-prone full-multivariate models. This paper investigates a partial-multivariate approach…
The creativity and emergence of biological and psychological behavior are nonlinear. However, that does not necessarily mean only that the measurements of the behaviors are curvilinear. Furthermore, the linear model might fail to reduce…
To improve transaction rates, many cryptocurrencies have implemented so-called ''Layer-2'' transaction protocols, where payments are routed across networks of private payment channels. However, for a given transaction, not every network…
Chaotic systems are highly sensitive to a small perturbation, and are ubiquitous throughout biological sciences, physical sciences and even social sciences. Taking this as the underlying principle, we construct an operational notion for…
Since the inception of Bitcoin in 2008, cryptocurrencies have played an increasing role in the world of e-commerce, but the recent turbulence in the cryptocurrency market in 2018 has raised some concerns about their stability and associated…
Data series generated by complex systems exhibit fluctuations on many time scales and/or broad distributions of the values. In both equilibrium and non-equilibrium situations, the natural fluctuations are often found to follow a scaling…
We achieve the multifractal analysis of a class of complex valued statistically self-similar continuous functions. For we use multifractal formalisms associated with pointwise oscillation exponents of all orders. Our study exhibits new…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…
We introduce systematic tests exploiting robust statistical and behavioral patterns in trading to detect fake transactions on 29 cryptocurrency exchanges. Regulated exchanges feature patterns consistently observed in financial markets and…
Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time…