Related papers: Approaching multifractal complexity in decentraliz…
Various methods have been developed independently to study the multifractality of measures in many different contexts. Although they all convey the same intuitive idea of giving a "dimension" to sets where a quantity scales similarly within…
Multifractal Detrended Fluctuation Analysis (MFDFA) is a powerful and widely used technique for characterizing the scaling properties and long-range correlations of complex time series. However, its application often involves significant…
Bid-ask spread is taken as an important measure of the financial market liquidity. In this article, we study the dynamics of the spread return and the spread volatility of four liquid stocks in the Chinese stock market, including the memory…
Cryptocurrencies gain trust in users by publicly disclosing the full creation and transaction history. In return, the transaction history faithfully records the whole spectrum of cryptocurrency user behaviors. This article analyzes and…
Time series of price returns for 80 of the most liquid cryptocurrencies listed on Binance are investigated for the presence of detrended cross-correlations. A spectral analysis of the detrended correlation matrix and a topological analysis…
We study quantitatively the level of false multifractal signal one may encounter while analyzing multifractal phenomena in time series within multifractal detrended fluctuation analysis (MF-DFA). The investigated effect appears as a result…
Multifractal Detrended Fluctuation Analysis stands out as one of the most reliable methods for unveiling multifractal properties, specially when real-world time series are under analysis. However, little is known about how several aspects,…
We propose a fully multivariate generalization of multifractal detrended fluctuation analysis (MFDFA) and leverage it to develop a fault diagnosis framework for multichannel machine vibration data. We introduce a novel covariance-weighted…
Decentralized Finance (DeFi) applications introduce novel financial instruments replicating and extending traditional ones through blockchain-based smart contracts. Among these applications, DeFi derivatives protocols enable the creation…
In relation to the traditional financial markets, the cryptocurrency market is a recent invention and the trading dynamics of all its components are readily recorded and stored. This fact opens up a unique opportunity to follow the…
The multifractal spectra of daily foreign exchange rates for US dollar (USD), the British Pound (GBP), the Euro (Euro) and the Japanese Yen (Yen) with respect to the Indian Rupee are analysed for the period 6th January 1999 to 24th July…
The trustless nature of permissionless blockchains renders overcollateralization a key safety component relied upon by decentralized finance (DeFi) protocols. Nonetheless, factors such as price volatility may undermine this mechanism. In…
The decentralized finance (DeFi) community has grown rapidly in recent years, pushed forward by cryptocurrency enthusiasts interested in the vast untapped potential of new markets. The surge in popularity of cryptocurrency has ushered in a…
The prosperity of the cryptocurrency ecosystem drives the need for digital asset trading platforms. Beyond centralized exchanges (CEXs), decentralized exchanges (DEXs) are introduced to allow users to trade cryptocurrency without…
Multifractal analysis is one of the important approaches that enables us to measure the complexity of various data via the scaling properties. We compare the most common techniques used for multifractal exponents estimation from both…
The miltifractal properties and scaling behaviour of the exchange rate variations of the Iranian rial against the US dollar from a daily perspective is numerically investigated. For this purpose the multifractal detrended fluctuation…
The crucial aspect of this demonstration is the discovery of renewal events, hidden in the computed dynamics of a multifractal metronome, which enables the replacement of the phenomenon of strong anticipation with a time delayed…
This letter investigates the dynamic relationship between market efficiency, liquidity, and multifractality of Bitcoin. We find that before 2013 liquidity is low and the Hurst exponent is less than 0.5, indicating that the Bitcoin time…
In this paper we will try to assess the multifractality displayed by the high-frequency returns of Madrid's Stock Exchange IBEX35 index. A Multifractal Detrended Fluctuation Analysis shows that this index has a wide singularity spectrum…
The non-fungible token (NFT) market emerges as a recent trading innovation leveraging blockchain technology, mirroring the dynamics of the cryptocurrency market. The current study is based on the capitalization changes and transaction…