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Book ; Online: Signatures of Maturity in Cryptocurrency Market

Drożdż, Stanisław / Drożdż, Stanisław / Kwapień, Jarosław / Wątorek, Marcin

2023

Keywords	Research & information: general ; Mathematics & science ; public-key cryptosystem ; error correcting code ; bounded distance decoding ; blockchain technology ; cryptocurrency ; Kolmogorov entropy ; DAO ; metaverse ; Bitcoin carbon footprint ; Bitcoin mining ; energy consumption ; FIGARCH ; MFDFA ; long memory ; Hurst exponent ; permanent policy ; cryptocurrencies ; noise and trend effects ; tick-by-tick data ; network structure ; community detection ; COVID-19 ; AI ; business development ; information processing ; volatility ; precision ; financial development ; bitcoin ; ADCC-GARCH ; diversifier ; hedge ; safe haven ; anomaly score ; Mahalanobis distance ; minimum covariance determinant ; shrinkage estimators ; blockchain ; edge computing ; electric vehicles ; Ethereum ; P2P charging ; DeFi ; oracle ; automated market makers ; decentralized exchange ; lending protocol ; forex market ; complexity ; entropy ; multifractal analysis ; complex systems ; financial crisis ; econophysics ; financial markets ; cross-correlations ; multiscale ; time series ; fluctuations ; correlations ; multifractality ; market maturity ; market impact ; collective dynamics ; time series analysis ; portfolio optimization
Language	English
Size	1 electronic resource (262 pages)
Publisher	MDPI - Multidisciplinary Digital Publishing Institute
Document type	Book ; Online
Note	English
HBZ-ID	HT030381352
ISBN	9783036585758 ; 3036585753
Database	ZB MED Catalogue: Medicine, Health, Nutrition, Environment, Agriculture

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Book ; Online: Complexity in Economic and Social Systems

Drożdż, Stanisław / Drożdż, Stanisław / Kwapień, Jarosław / Oświęcimka, Paweł

2021

Keywords	Information technology industries ; volatility clustering ; Baidu Index ; information demand ; generalized autoregressive conditional heteroscedasticity model (GARCH) ; mixture of distribution hypothesis ; speculation ; land acquisition ; motivation ; real estate ; development ; Ethiopia ; systemic risk ; macroprudential policy ; agent-based modelling ; inequality ; central-banking ; information transfer ; transfer entropy ; stock markets ; econophysics ; complexity science ; information theory ; economic complexity ; evolutionary dynamics ; network theory ; leveraged trading ; stock price crash risk ; threshold effect ; complexity in stock market ; entropy economics ; non-extensive cross-entropy econometrics ; non-ergodic ill-behaved inverse problems ; general system theory ; non-linear dynamics ; complex adaptive systems ; homo oeconomicus ; edge of chaos ; complexity economics ; pricing constraint ; IPO timing ; dynamic game model ; real option ; complexity of IPOs ; financial institution ; complex network ; jump volatility ; entropy weight TOPSIS ; structural entropy ; stock market ; EMD ; cluster-entropy ; Shannon-entropy ; financial markets ; time series ; dynamics ; Tsallis entropy ; copula functions ; cross-shareholding network ; finance ; cryptocurrencies ; multivariate transfer entropy ; complex networks ; liquidity proxy ; liquidity benchmark ; volatility estimate ; correlation coefficient ; partial determination ; mutual information ; forecasting market risk ; value at risk ; extreme returns ; peaks over threshold ; self-exciting point process ; discrete-time models ; generalized Pareto distribution ; dynamical complexity ; universal complexity measure ; irreversible processes ; entropies ; entropic susceptibilities ; complex systems ; multifractal analysis ; detrended cross-correlations ; minimal spanning tree ; wealth condensation ; agent-based computational economics ; bargaining ; gain function ; macroeconomics ; innovative activity ; manufacturing industry ; conjunctural movements ; cybernetics ; feedback loops ; correspondence analysis ; Polish Green Island effect ; Red Queen effect ; Kondratieff waves ; power law ; Zipf law ; gender productivity gap ; fake news ; rumor spreading ; Nash equilibrium ; evolutionarily stable strategies ; evolutionary information search dynamics ; nonlinear dynamics ; chaos ; time series analysis ; stock exchange market ; Lyapunov ; recurrence plots ; BDS ; correlation dimension ; GARCH model ; measure of economic development ; websites ; public administration sector ; municipality ; four-colour theorem ; prosumption ; platforms for participation ; location quotient ; dual graph ; Euler characteristic ; n/a
Size	1 electronic resource (534 pages)
Publisher	MDPI - Multidisciplinary Digital Publishing Institute
Publishing place	Basel, Switzerland
Document type	Book ; Online
Note	English ; Open Access
HBZ-ID	HT021289396
ISBN	9783036507958 ; 3036507957
Database	ZB MED Catalogue: Medicine, Health, Nutrition, Environment, Agriculture

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Article ; Online: Characteristics of price related fluctuations in non-fungible token (NFT) market.

Szydło, Paweł / Wątorek, Marcin / Kwapień, Jarosław / Drożdż, Stanisław

Chaos (Woodbury, N.Y.)

2024 Volume 34, Issue 1

Abstract: 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 capitalization, floor price, the number of transactions, the inter-transaction times, ...

Abstract	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 capitalization, floor price, the number of transactions, the inter-transaction times, and the transaction volume value of a few selected popular token collections. The results show that the fluctuations of all these quantities are characterized by heavy-tailed probability distribution functions, in most cases well described by the stretched exponentials, with a trace of power-law scaling at times, long-range memory, persistence, and in several cases even the fractal organization of fluctuations, mostly restricted to the larger fluctuations, however. We conclude that the NFT market-even though young and governed by somewhat different mechanisms of trading-shares several statistical properties with the regular financial markets. However, some differences are visible in the specific quantitative indicators.
Language	English
Publishing date	2024-01-08
Publishing country	United States
Document type	Journal Article
ZDB-ID	1472677-4
ISSN	1089-7682 ; 1054-1500
ISSN (online)	1089-7682
ISSN	1054-1500
DOI	10.1063/5.0185306
Database	MEDical Literature Analysis and Retrieval System OnLINE

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Article ; Online: Genuine multifractality in time series is due to temporal correlations.

Kwapień, Jarosław / Blasiak, Pawel / Drożdż, Stanisław / Oświęcimka, Paweł

Physical review. E

2023 Volume 107, Issue 3-1, Page(s) 34139

Abstract: Based on the mathematical arguments formulated within the multifractal detrended fluctuation analysis (MFDFA) approach it is shown that, in the uncorrelated time series from the Gaussian basin of attraction, the effects resembling multifractality ... ...

Abstract	Based on the mathematical arguments formulated within the multifractal detrended fluctuation analysis (MFDFA) approach it is shown that, in the uncorrelated time series from the Gaussian basin of attraction, the effects resembling multifractality asymptotically disappear for positive moments when the length of time series increases. A hint is given that this applies to the negative moments as well and extends to the Lévy stable regime of fluctuations. The related effects are also illustrated and confirmed by numerical simulations. This documents that the genuine multifractality in time series may only result from the long-range temporal correlations, and the fatter distribution tails of fluctuations may broaden the width of the singularity spectrum only when such correlations are present. The frequently asked question of what makes multifractality in time series-temporal correlations or broad distribution tails-is thus ill posed. In the absence of correlations only the bifractal or monofractal cases are possible. The former corresponds to the Lévy stable regime of fluctuations while the latter to the ones belonging to the Gaussian basin of attraction in the sense of the central limit theorem.
Language	English
Publishing date	2023-04-18
Publishing country	United States
Document type	Journal Article
ZDB-ID	2844562-4
ISSN	2470-0053 ; 2470-0045
ISSN (online)	2470-0053
ISSN	2470-0045
DOI	10.1103/PhysRevE.107.034139
Database	MEDical Literature Analysis and Retrieval System OnLINE

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Article ; Online: What Is Mature and What Is Still Emerging in the Cryptocurrency Market?

Drożdż, Stanisław / Kwapień, Jarosław / Wątorek, Marcin

Entropy (Basel, Switzerland)

2023 Volume 25, Issue 5

Abstract: 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 multidimensional ... ...

Abstract	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 multidimensional trajectory of its development since inception up to the present time. Several main characteristics commonly recognized as financial stylized facts of mature markets were quantitatively studied here. In particular, it is shown that the return distributions, volatility clustering effects, and even temporal multifractal correlations for a few highest-capitalization cryptocurrencies largely follow those of the well-established financial markets. The smaller cryptocurrencies are somewhat deficient in this regard, however. They are also not as highly cross-correlated among themselves and with other financial markets as the large cryptocurrencies. Quite generally, the volume
Language	English
Publishing date	2023-05-09
Publishing country	Switzerland
Document type	Journal Article
ZDB-ID	2014734-X
ISSN	1099-4300 ; 1099-4300
ISSN (online)	1099-4300
ISSN	1099-4300
DOI	10.3390/e25050772
Database	MEDical Literature Analysis and Retrieval System OnLINE

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Article ; Online: Cryptocurrencies Are Becoming Part of the World Global Financial Market.

Wątorek, Marcin / Kwapień, Jarosław / Drożdż, Stanisław

Entropy (Basel, Switzerland)

2023 Volume 25, Issue 2

Abstract: 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 side, and the instruments representing the traditional financial markets: ...

Abstract	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 side, and the instruments representing the traditional financial markets: stock indices, Forex, commodities, on the other side, are measured in the period: January 2020-October 2022. Our purpose is to address the question whether the cryptocurrency market still preserves its autonomy with respect to the traditional financial markets or it has already aligned with them in expense of its independence. We are motivated by the fact that some previous related studies gave mixed results. By calculating the
Language	English
Publishing date	2023-02-18
Publishing country	Switzerland
Document type	Journal Article
ZDB-ID	2014734-X
ISSN	1099-4300 ; 1099-4300
ISSN (online)	1099-4300
ISSN	1099-4300
DOI	10.3390/e25020377
Database	MEDical Literature Analysis and Retrieval System OnLINE

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Article ; Online: Decomposing cryptocurrency high-frequency price dynamics into recurring and noisy components.

Wątorek, Marcin / Skupień, Maria / Kwapień, Jarosław / Drożdż, Stanisław

Chaos (Woodbury, N.Y.)

2023 Volume 33, Issue 8

Abstract: 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. Market activity measures-logarithmic returns, volume, and transaction ... ...

Abstract	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. Market activity measures-logarithmic returns, volume, and transaction number, sampled every 10 s, were divided into intraday and intraweek periods and then further decomposed into recurring and noise components via correlation matrix formalism. The key findings include the distinctive market behavior from traditional stock markets due to the nonexistence of trade opening and closing. This was manifested in three enhanced-activity phases aligning with Asian, European, and U.S. trading sessions. An intriguing pattern of activity surge in 15-min intervals, particularly at full hours, was also noticed, implying the potential role of algorithmic trading. Most notably, recurring bursts of activity in bitcoin and ether were identified to coincide with the release times of significant U.S. macroeconomic reports, such as Nonfarm payrolls, Consumer Price Index data, and Federal Reserve statements. The most correlated daily patterns of activity occurred in 2022, possibly reflecting the documented correlations with U.S. stock indices in the same period. Factors that are external to the inner market dynamics are found to be responsible for the repeatable components of the market dynamics, while the internal factors appear to be substantially random, which manifests itself in a good agreement between the empirical eigenvalue distributions in their bulk and the random-matrix theory predictions expressed by the Marchenko-Pastur distribution. The findings reported support the growing integration of cryptocurrencies into the global financial markets.
Language	English
Publishing date	2023-12-07
Publishing country	United States
Document type	Journal Article
ZDB-ID	1472677-4
ISSN	1089-7682 ; 1054-1500
ISSN (online)	1089-7682
ISSN	1054-1500
DOI	10.1063/5.0165635
Database	MEDical Literature Analysis and Retrieval System OnLINE

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Book ; Online: Complex systems approach to natural language

Stanisz, Tomasz / Drożdż, Stanisław / Kwapień, Jarosław

2024

Abstract: The review summarizes the main methodological concepts used in studying natural language from the perspective of complexity science and documents their applicability in identifying both universal and system-specific features of language in its written ... ...

Abstract	The review summarizes the main methodological concepts used in studying natural language from the perspective of complexity science and documents their applicability in identifying both universal and system-specific features of language in its written representation. Three main complexity-related research trends in quantitative linguistics are covered. The first part addresses the issue of word frequencies in texts and demonstrates that taking punctuation into consideration restores scaling whose violation in the Zipf's law is often observed for the most frequent words. The second part introduces methods inspired by time series analysis, used in studying various kinds of correlations in written texts. The related time series are generated on the basis of text partition into sentences or into phrases between consecutive punctuation marks. It turns out that these series develop features often found in signals generated by complex systems, like long-range correlations or (multi)fractal structures. Moreover, it appears that the distances between punctuation marks comply with the discrete variant of the Weibull distribution. In the third part, the application of the network formalism to natural language is reviewed, particularly in the context of the so-called word-adjacency networks. Parameters characterizing topology of such networks can be used for classification of texts, for example, from a stylometric perspective. Network approach can also be applied to represent the organization of word associations. Structure of word-association networks turns out to be significantly different from that observed in random networks, revealing genuine properties of language. Finally, punctuation seems to have a significant impact not only on the language's information-carrying ability but also on its key statistical properties, hence it is recommended to consider punctuation marks on a par with words. Comment: 113 pages, 49 figures
Keywords	Physics - Physics and Society ; Computer Science - Computation and Language ; Nonlinear Sciences - Adaptation and Self-Organizing Systems ; Statistics - Applications
Subject code	410
Publishing date	2024-01-05
Publishing country	us
Document type	Book ; Online
Database	BASE - Bielefeld Academic Search Engine (life sciences selection)

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Book ; Online: What is mature and what is still emerging in the cryptocurrency market?

Drożdż, Stanisław / Kwapień, Jarosław / Wątorek, Marcin

2023

Abstract	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 multidimensional trajectory of its development since inception up to the present time. Several main characteristics commonly recognized as financial stylized facts of mature markets were quantitatively studied here. In particular, it is shown that the return distributions, volatility clustering effects, and even temporal multifractal correlations for a few highest-capitalization cryptocurrencies largely follow those of the well-established financial markets. The smaller cryptocurrencies are somewhat deficient in this regard, however. They are also not as highly cross-correlated among themselves and with other financial markets as the large cryptocurrencies. Quite generally, the volume V impact on price changes R appears to be much stronger on the cryptocurrency market than in the mature stock markets, and scales as $R(V) \sim V^{\alpha}$ with $\alpha \gtrsim 1$.
Keywords	Quantitative Finance - Statistical Finance ; Computer Science - Computational Engineering ; Finance ; and Science ; Statistics - Applications
Subject code	332
Publishing date	2023-05-09
Publishing country	us
Document type	Book ; Online
Database	BASE - Bielefeld Academic Search Engine (life sciences selection)

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Book ; Online: Decomposing cryptocurrency dynamics into recurring and noisy components

Wątorek, Marcin / Skupień, Maria / Kwapień, Jarosław / Drożdż, Stanisław

2023

Abstract: This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on bitcoin, ether, dogecoin, and winklink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and transaction ... ...

Abstract	This paper investigates the temporal patterns of activity in the cryptocurrency market with a focus on bitcoin, ether, dogecoin, and winklink from January 2020 to December 2022. Market activity measures - logarithmic returns, volume, and transaction number, sampled every 10 seconds, were divided into intraday and intraweek periods and then further decomposed into recurring and noise components via correlation matrix formalism. The key findings include the distinctive market behavior from traditional stock markets due to the nonexistence of trade opening and closing. This was manifest in three enhanced-activity phases aligning with Asian, European, and US trading sessions. An intriguing pattern of activity surge in 15-minute intervals, particularly at full hours, was also noticed, implying the potential role of algorithmic trading. Most notably, recurring bursts of activity in bitcoin and ether were identified to coincide with the release times of significant US macroeconomic reports such as Nonfarm payrolls, Consumer Price Index data, and Federal Reserve statements. The most correlated daily patterns of activity occurred in 2022, possibly reflecting the documented correlations with US stock indices in the same period. Factors that are external to the inner market dynamics are found to be responsible for the repeatable components of the market dynamics, while the internal factors appear to be substantially random, which manifests itself in a good agreement between the empirical eigenvalue distributions in their bulk and the random matrix theory predictions expressed by the Marchenko-Pastur distribution. The findings reported support the growing integration of cryptocurrencies into the global financial markets.
Keywords	Quantitative Finance - Trading and Market Microstructure ; Computer Science - Computational Engineering ; Finance ; and Science ; Economics - Econometrics ; Physics - Data Analysis ; Statistics and Probability ; Statistics - Applications
Subject code	332
Publishing date	2023-06-29
Publishing country	us
Document type	Book ; Online
Database	BASE - Bielefeld Academic Search Engine (life sciences selection)

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