240 citations · 1k across the 25 of their papers we have counts for
4 papers · 1 filter
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.…