240 citations · 1k across the 25 of their papers we have counts for
26 papers
Some Twitch chats exhibit multifractal characteristics resembling stream-of-consciousness narrative
Marcin Ból, Stanisław Drożdż, Robert Kluszczyński +2
Live-streaming platforms generate high-frequency records of collective human activity in which many loosely coordinated users react in real time to shared external stimuli and to o…
Detecting unusual trading patterns on cryptocurrency exchanges by means of complexity measures
Jakub Zwydak, Marcin Wątorek, Jarosław Kwapień +1
Artificial transaction generation remains an important source of potential market manipulation on cryptocurrency exchanges, as it may distort reported liquidity and reduce market t…
Detrended cross-correlations and their random matrix limit: an example from the cryptocurrency market
Stanisław Drożdż, Paweł Jarosz, Jarosław Kwapień +2
Correlations in complex systems are often obscured by nonstationarity, long-range memory, and heavy-tailed fluctuations, which limit the usefulness of traditional covariance-based…
Filtering amplitude dependence of correlation dynamics in complex systems: application to the cryptocurrency market
Marcin Wątorek, Marija Bezbradica, Martin Crane +2
Based on the cryptocurrency market dynamics, this study presents a general methodology for analyzing evolving correlation structures in complex systems using the -dependent detr…
Multifractality and its sources in the digital currency market
Stanisław Drożdż, Robert Kluszczyński, Jarosław Kwapień +1
Multifractality in time series analysis characterizes the presence of multiple scaling exponents, indicating heterogeneous temporal structures and complex dynamical behaviors beyon…
Disentangling sources of multifractality in time series
Robert Kluszczyński, Stanisław Drożdż, Jarosław Kwapień +2
This contribution addresses the question commonly asked in scientific literature about the sources of multifractality in time series. Two primary sources are typically considered.…
Approaching multifractal complexity in decentralized cryptocurrency trading
Marcin Wątorek, Marcin Królczyk, Jarosław Kwapień +2
Multifractality is a concept that helps compactly grasping the most essential features of the financial dynamics. In its fully developed form, this concept applies to essentially a…
Correlations versus noise in the NFT market
Marcin Wątorek, Paweł Szydło, Jarosław Kwapień +1
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…
Multifractal organization of EEG signals in Multiple Sclerosis
Marcin Wątorek, Wojciech Tomczyk, Magda Gawłowska +9
Quantifying the complex/multifractal organization of the brain signals is crucial to fully understanding the brain processes and structure. In this contribution, we performed the m…
Characteristics of price related fluctuations in Non-Fungible Token (NFT) market
Paweł Szydło, Marcin Wątorek, Jarosław Kwapień +1
A non-fungible token (NFT) market is a new trading invention based on the blockchain technology which parallels the cryptocurrency market. In the present work we study capitalizati…
Decomposing cryptocurrency high-frequency price dynamics into recurring and noisy components
Marcin Wątorek, Maria Skupień, Jarosław Kwapień +1
This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on Bitcoin, Ethereum, Dogecoin, and WINkLink from January 2020 to December 2022.…
What is mature and what is still emerging in the cryptocurrency market?
Stanisław Drożdż, Jarosław Kwapień, Marcin Wątorek
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. Th…
Cryptocurrencies Are Becoming Part of the World Global Financial Market
Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż
In this study the cross-correlations between the cryptocurrency market represented by the two most liquid and highest-capitalized cryptocurrencies: bitcoin and ethereum, on the one…
Multifractal cross-correlations of bitcoin and ether trading characteristics in the post-COVID-19 time
Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż
Unlike price fluctuations, the temporal structure of cryptocurrency trading has seldom been a subject of systematic study. In order to fill this gap, we analyse detrended correlati…
Analysis of inter-transaction time fluctuations in the cryptocurrency market
Jarosław Kwapień, Marcin Wątorek, Marija Bezbradica +3
We analyse tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction t…
Cryptocurrency Market Consolidation in 2020--2021
Jarosław Kwapień, Marcin Wątorek, Stanisław Drożdż
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…
Financial Return Distributions: Past, Present, and COVID-19
Marcin Wątorek, Jarosław Kwapień, Stanisław Drożdż
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commoditi…
Multiscale characteristics of the emerging global cryptocurrency market
Marcin Wątorek, Stanisław Drożdż, Jarosław Kwapień +3
The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on wh…
Complexity in economic and social systems: cryptocurrency market at around COVID-19
Stanisław Drożdż, Jarosław Kwapień, Paweł Oświęcimka +2
Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. All financial markets, including…
Competition of noise and collectivity in global cryptocurrency trading: route to a self-contained market
Stanisław Drożdż, Ludovico Minati, Paweł Oświęcimka +2
Cross-correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015, through March 3…
Multifractal Description of Streamflow and Suspended Sediment Concentration Data from Indian River Basins
Adarsh Sankaran, Drisya Sasi Dharan, Anand Vishnu Babykuttan +3
This study investigates the multifractality of streamflow data of 192 stations located in 13 river basins in India using the Multifractal Detrended Fluctuation Analysis (MF-DFA). T…
Signatures of crypto-currency market decoupling from the Forex
Stanisław Drożdż, Ludovico Minati, Paweł Oświęcimka +2
Based on the high-frequency recordings from Kraken, a cryptocurrency exchange and professional trading platform that aims to bring Bitcoin and other cryptocurrencies into the mains…
Detecting correlations and triangular arbitrage opportunities in the Forex by means of multifractal detrended cross-correlations analysis
Robert Gębarowski, Paweł Oświęcimka, Marcin Wątorek +1
Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high frequency exchange rates of eight…
Multifractal cross-correlations between the World Oil and other Financial Markets in 2012-2017
Marcin Wątorek, Stanisław Drożdż, Paweł Oświȩcimka +1
Statistical and multiscaling characteristics of WTI Crude Oil prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini S…