341 citations · 2.1k across the 59 of their papers we have counts for
23 papers · 1 filter
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…
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…
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…
Minimum spanning tree filtering of correlations for varying time scales and size of fluctuations
Jaroslaw Kwapien, Pawel Oswiecimka, Marcin Forczek +1
Based on a recently proposed -dependent detrended cross-correlation coefficient , we generalize the concept of minimum spanning tree (MST) by introducing a family of -de…
Detrended cross-correlations between returns, volatility, trading activity, and volume traded for the stock market companies
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien +1
We consider a few quantities that characterize trading on a stock market in a fixed time interval: logarithmic returns, volatility, trading activity (i.e., the number of transactio…
Stock returns versus trading volume: is the correspondence more general?
Rafal Rak, Stanislaw Drozdz, Jaroslaw Kwapien +1
This paper presents a quantitative analysis of the relationship between the stock market returns and corresponding trading volumes using high- frequency data from the Polish stock…
The foreign exchange market: return distributions, multifractality, anomalous multifractality and Epps effect
Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka +1
We present a systematic study of various statistical characteristics of high-frequency returns from the foreign exchange market. This study is based on six exchange rates forming t…
Sign and amplitude representation of the forex networks
Sylwia Gworek, Jaroslaw Kwapien, Stanislaw Drozdz
We decompose the exchange rates returns of 41 currencies (incl. gold) into their sign and amplitude components. Then we group together all exchange rates with a common base currenc…
Structure and evolution of the foreign exchange networks
Jaroslaw Kwapien, Sylwia Gworek, Stanislaw Drozdz
We investigate topology and temporal evolution of the foreign currency exchange market viewed from a weighted network perspective. Based on exchange rates for a set of 46 currencie…
Scale free effects in world currency exchange network
A. Z. Gorski, S. Drozdz, J. Kwapien
A large collection of daily time series for 60 world currencies' exchange rates is considered. The correlation matrices are calculated and the corresponding Minimal Spanning Tree (…
Minimal Spanning Tree graphs and power like scaling in FOREX networks
A Z Gorski, S. Drozdz, J. Kwapien
Correlation matrices of foreign exchange rate time series are investigated for 60 world currencies. Minimal Spanning Tree (MST) graphs for the gold, silver and platinum are present…
Criticality Characteristics of Current Oil Price Dynamics
Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka
Methodology that recently lead us to predict to an amazing accuracy the date (July 11, 2008) of reverse of the oil price up trend is briefly summarized and some further aspects of…
Different fractal properties of positive and negative returns
P. Oswiecimka, J. Kwapien, S. Drozdz +2
We perform an analysis of fractal properties of the positive and the negative changes of the German DAX30 index separately using Multifractal Detrended Fluctuation Analysis (MFDFA)…
Cross-correlations in Warsaw Stock Exchange
R. Rak, J. Kwapien, S. Drozdz +1
We study the inter-stock correlations for the largest companies listed on Warsaw Stock Exchange and included in the WIG20 index. Our results from the correlation matrix analysis in…
Current log-periodic view on future world market development
Stanislaw Drozdz, Jaroslaw Kwapien, Pawel Oswiecimka +1
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010.…
Empirics versus RMT in financial cross-correlations
S. Drozdz, J. Kwapien, P. Oswiecimka
In order to pursue the issue of the relation between the financial cross-correlations and the conventional Random Matrix Theory we analyse several characteristics of the stock mark…
World currency exchange rate cross-correlations
S. Drozdz, A. Z. Gorski, J. Kwapien
World currency network constitutes one of the most complex structures that is associated with the contemporary civilization. On a way towards quantifying its characteristics we stu…
Stock market return distributions: from past to present
S. Drozdz, M. Forczek, J. Kwapien +2
We show that recent stock market fluctuations are characterized by the cumulative distributions whose tails on short, minute time scales exhibit power scaling with the scaling inde…