111 citations · 257 across the 6 of their papers we have counts for
3 papers · 1 filter
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…
Dynamical variety of shapes in financial multifractality
Stanisław Drożdż, Rafał Kowalski, Paweł Oświȩcimka +2
The concept of multifractality offers a powerful formal tool to filter out multitude of the most relevant characteristics of complex time series. The related studies thus far prese…
Bitcoin market route to maturity? Evidence from return fluctuations, temporal correlations and multiscaling effects
Stanisław Drożdż, Robert Gębarowski, Ludovico Minati +2
Based on 1-minute price changes recorded since year 2012, the fluctuation properties of the rapidly-emerging Bitcoin (BTC) market are assessed over chosen sub-periods, in terms of…