Related papers: Approaching multifractal complexity in decentraliz…
Multifractals are inhomogeneous measures (or functions) which are typically described by a full spectrum of real dimensions, as opposed to a single real dimension. Results from the study of fractal strings in the analysis of their geometry,…
Stylized facts can be regarded as constraints for any modeling attempt of price dynamics on a financial market, in that an empirically reasonable model has to reproduce these stylized facts at least qualitatively. The dynamics of market…
A multifractal analysis is performed on a three-dimensional grayscale image associated with a complex system. First, a procedure for generating 3D synthetic images (2D image stacks) of a complex structure exhibiting multifractal behaviour…
Cryptocurrencies have recently been in the spotlight of public debate due to their embrace by the new US President, with crypto fans expecting a 'bull run'. The global cryptocurrency market capitalisation is more than \$3.50 trillion, with…
Multifractal analysis and extensive statistical tests are performed upon intraday minutely data within individual trading days for four stock market indexes (including HSI, SZSC, S&P500, and NASDAQ) to check whether the indexes (instead of…
This study develops and analyzes an optimization model of smart contract adoption under bounded risk, linking structural theory with simulation and real-world validation. We examine how adoption intensity alpha is structurally pinned at a…
Many multi-dimensional signals appear in the real world, such as digital images and data that has spatial and temporal dimensions. How to show the spectrum of these multi-dimensional signals correctly is a key challenge in the field of…
When information is spatially repeated in self-similar fractal beam patterns, only a portion of the diffracted beam is needed to reconstruct the kernel data. What is unique to a fractal-encoding scheme is that the image demultiplexing…
Cryptocurrency has been extensively studied as a decentralized financial technology built on blockchain. However, there is a lack of understanding of user experience with cryptocurrency exchanges, the main means for novice users to interact…
The finite sample effect on the Hurst exponent (HE) of realized volatility time series is examined using Bitcoin data. This study finds that the HE decreases as the sampling period $\Delta$ increases and a simple finite sample ansatz…
High-speed computerized trading, often called "high-frequency trading" (HFT), has increased dramatically in financial markets over the last decade. In the US and Europe, it now accounts for nearly one-half of all trades. Although evidence…
We analyze daily prices of 29 commodities and 2449 stocks, each over a period of $\approx 15$ years. We find that the price fluctuations for commodities have a significantly broader multifractal spectrum than for stocks. We also propose…
Based on the mathematical arguments formulated within the Multifractal Detrended Fluctuation Analysis (MFDFA) approach it is shown that in the uncorrelated time series from the Gaussian basin of attraction the effects resembling…
In this paper we provide a comprehensive analysis of a structural model for the dynamics of prices of assets traded in a market originally proposed in [1]. The model takes the form of an interacting generalization of the geometric Brownian…
Uniswap is a Constant Product Market Maker built around liquidity pools, where pairs of tokens are exchanged subject to a fee that is proportional to the size of transactions. At the time of writing, there exist more than 6,000 pools…
In recent years, decentralized applications (dApps) built on blockchain platforms such as Ethereum and coded in languages such as Solidity, have gained attention for their potential to disrupt traditional centralized systems. Despite their…
In this paper, we provide a simple, ``generic'' interpretation of multifractal scaling laws and multiplicative cascade process paradigms in terms of volatility correlations. We show that in this context 1/f power spectra, as observed…
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…
Blockchains are maintained by a network of participants that run algorithms designed to maintain collectively a distributed machine tolerant to Byzantine attacks. From the point of view of users, blockchains provide the illusion of…
One of the exciting recent developments in decentralized finance (DeFi) has been the development of decentralized cryptocurrency exchanges that can autonomously handle conversion between different cryptocurrencies. Decentralized exchange…