Stanislaw Drozdz

Institute of Nuclear Physics and Cracow University of Technology · Complex Systems Theory

Multifractality is a concept that helps compactly grasp the most essential features of financial dynamics. In its fully developed form, this concept applies to essentially all mature financial markets and even to more liquid cryptocurrencies traded on centralized exchanges. A new element that adds complexity to cryptocurrency markets is the possibi...

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 all mature financial markets and even to more liquid cryptocurrencies traded on the centralized exchanges. A new element that adds complexity to cryptocurrency markets is...

An efficient method of exploring the effects of anisotropy in the fractal properties of 2D surfaces and images is proposed. It can be viewed as a direction-sensitive generalization of the multifractal detrended fluctuation analysis into 2D. It is tested on synthetic structures to ensure its effectiveness, with results indicating consistency. The in...

An efficient method of exploring the effects of anisotropy in the fractal properties of 2D surfaces and images is proposed. It can be viewed as a direction-sensitive generalization of the multifractal detrended fluctuation analysis (MFDFA) into 2D. It is tested on synthetic structures to ensure its effectiveness, with results indicating consistency...

As the recent studies indicate, the structure imposed onto written texts by the presence of punctuation develops patterns which reveal certain characteristics of universality. In particular, based on a large collection of classic literary works, it has been evidenced that the distances between consecutive punctuation marks, measured in terms of the...

Punctuation is the main factor introducing correlations in natural language written texts and it crucially impacts their overall effectiveness, expressiveness, and readability. Punctuation marks at the end of sentences are of particular importance as their distribution can determine various complexity features of written natural language. Here, the...

As the recent studies indicate, the structure imposed onto written texts by the presence of punctuation develops patterns which reveal certain characteristics of universality. In particular, based on a large collection of classic literary works, it has been evidenced that the distances between consecutive punctuation marks, measured in terms of the...

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 is based on the capitalization changes and transaction volumes across a large number of token collections on the Ethereum platform. In order to deepen the understanding o...

Sentence length variability (SLV) is a crucial aspect of writing that can significantly impact the overall effectiveness, expressiveness and readability of the written work. In the communication presented here, the dynamics of SLV are subjected to quantitative analysis with an attempt to identify potential multiscale patterns and their multifractal...

The science of complexity is an interdisciplinary approach to seeking answers to the question of the principles by which Nature operates, composing basic elements of matter and energy into dynamic patterns and structures propagating through the entire hierarchy of scales in the Universe. The associated remarkable emergent phenomenon, such as the sy...

The non-fungible token (NFT) market emerges as a recent trading innovation leveraging blockchain technology, mirroring the dynamics of the cryptocurrency market. To deepen the understanding of the dynamics of this market, in the current study, based on the capitalization changes and transaction volumes across a large number of token collections on...

Multifractality, that is, self-similarity where in scaling follows a continuous spectrum of exponents, is a ubiquitous property of the morphology and dynamics of large-scale complex systems. However, to date, the prerequisites for the generation of multifractal time series by dynamical systems remain an open issue. This work demonstrates that multi...

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...

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 decom...

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...

Temporal correlations of the sentiment content in consecutive sentences is studied based on a large corpus of world-famous literary text in four major European languages (English, French, German and Spanish). For quantifying the related characteristics in terms of the Hurst exponents the Detrended Fluctuation Analysis (DFA) is employed. The results...

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 co...

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...

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–...

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-...

The celebrated proverb that "speech is silver, silence is golden" has a long multinational history and multiple specific meanings. In written texts punctuation can in fact be considered one of its manifestations. Indeed, the virtue of effectively speaking and writing involves - often decisively - the capacity to apply the properly placed breaks. In...

Based on the rigorous mathematical arguments formulated within the Multifractal Detrended Fluctuation Analysis (MFDFA) approach it is shown that in the uncorrelated time series the effects resembling multifractality asymptotically disappear when the length of time series increases. The related effects are also illustrated by numerical simulations....

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 correlations of the price returns, the average number of trades in time unit, and the traded volume based on high-frequency data representing two major cryptocurrencies: bitcoin a...

We analyze tick-by-tick data representing major cryptocurrencies traded on some different cryptocurrency trading platforms. We focus on such quantities like the inter-transaction times, the number of transactions in time unit, the traded volume, and volatility. We show that the inter-transaction times show long-range power-law autocorrelations. The...

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 correlations of the price returns, the average number of trades in time unit, and the traded volume based on high-frequency data representing two major cryptocurrencies: bitcoin a...

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 times, the number of transactions in time unit, the traded volume, and volatility. We show that the inter-transaction times show long-range power-law autocorrelations that...

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 the detrended correlation matrix and a topological analysis of the minimal spanning trees calculated based on this matrix are applied for different positions of a moving...

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 the detrended correlation matrix and a topological analysis of the minimal spanning trees calculated based on this matrix are applied for different positions of a moving...

We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model tails of the return distributions at different time scales by using power-law, stretched exponential, and $q$...

We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017–2020, we model tails of the return distributions at different time scales by using power-law, stretched exponential, and q-Ga...

During recent years we have witnessed a systematic progress in the understanding of complex systems, both in the case of particular systems that are classified into this group and, in general, as regards the phenomenon of complexity [...]

Modern financial markets are characterized by a rapid flow of information, a vast number of participants having diversified investment horizons, and multiple feedback mechanisms, which collectively lead to the emergence of complex phenomena, for example speculative bubbles or crashes. As such, they are considered as one of the most complex systems...

The review introduces the history of cryptocurrencies, offering a description of the blockchain technology behind them. Differences between cryptocurrencies and the exchanges on which they are traded have been shown. The central part surveys the analysis of cryptocurrency price changes on various platforms. The statistical properties of the fluctua...

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 the cryptocurrency market, belong to the economical sphere of human activity that seems to be the most interrelated and complex. The cryptocurrency market complexity can...

Social systems are characterized by an enormous network of connections and factors that can influence the structure and dynamics of these systems. Among them the whole economical sphere of human activity seems to be the most interrelated and complex. All financial markets, including the youngest one, the cryptocurrency market, belong to this sphere...

The robustness of two widespread multifractal analysis methods, one based on detrended fluctuation analysis and one on wavelet leaders, is discussed in the context of time-series containing non-uniform structures with only isolated singularities. Signals generated by simulated and experimentally-realized chaos generators, together with synthetic da...

The robustness of two widespread multifractal analysis methods, one based on detrended fluctuation analysis and one on wavelet leaders, is discussed in the context of time-series containing non-uniform structures with only isolated singularities. Signals generated by simulated and experimentally-realized chaos generators, together with synthetic da...

Cross correlations in fluctuations of the daily exchange rates within the basket of the 100 highest-capitalization cryptocurrencies over the period October 1, 2015–March 31, 2019 are studied. The corresponding dynamics predominantly involve one leading eigenvalue of the correlation matrix, while the others largely coincide with those of Wishart ran...

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 31, 2019, are studied. The corresponding dynamics predominantly involve one leading eigenvalue of the correlation matrix, while the others largely coincide with those of W...

Multifractal detrended cross-correlation methodology is described and applied to Foreign exchange (Forex) market time series. Fluctuations of high-frequency exchange rates of eight major world currencies over 2010–2018 period are used to study cross-correlations. The study is motivated by fundamental questions in complex systems’ response to signif...

We discuss deterministic sequences of avalanches on a directed Bethe lattice. The approach is motivated by the phenomenon of self-organized criticality. Grains are added only at one node of the network. When the number of grains at any node exceeds a threshold b, each of k out-neighbors gets one grain. The probability of an avalanche of size s is p...

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 mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between 1 July 2016 and 3...

Multifractal Detrended Cross-Correlation methodology is applied to the foreign exchange (Forex) market. High frequency fluctuations of exchange rates of eight major world currencies over the period 2010--2018 are used to study cross-correlations. The currencies include the Australian dollar, Canadian dollar, Swiss franc, euro, British pound sterlin...

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 mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between July 1, 2016 and...

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 mainstream, the multiscale cross-correlations involving the Bitcoin (BTC), Ethereum (ETH), Euro (EUR) and US dollar (USD) are studied over the period between July 1, 2016 and...

Statistical and multiscaling characteristics of WTI Crude Oil futures prices expressed in US dollar in relation to the most traded currencies as well as to gold futures and to the E-mini S&P500 futures prices on 5 min intra-day recordings in the period January 2012–December 2017 are studied. It is shown that in most of the cases the tails of return...

Compared to the heavily studied surface drainage systems, the mountain ridge systems have been a subject of less attention even on the empirical level, despite the fact that their structure is richer. To reduce this deficiency, we analyse different mountain ranges by means of a network approach and grasp some essential features of the ridge branchi...

The entrainment between weakly-coupled nonlinear oscillators, as well as between complex signals such as those representing physiological activity, is frequently assessed in terms of whether a stable relationship is detectable between the instantaneous phases extracted from the measured or simulated time-series via the analytic signal. Here, we dem...

The entrainment between weakly coupled nonlinear oscillators, as well as between complex signals such as those representing physiological activity, is frequently assessed in terms of whether a stable relationship is detectable between the instantaneous phases extracted from the measured or simulated time-series via the analytic signal. Here, we dem...

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$\&$P500 futures prices on 5 min intra-day recordings in the period January 2012 - December 2017 are studied. It is shown that in most of the cases the tails of return di...

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 presented in the scientific literature typically limit themselves to evaluation of whether or not a time series is multifractal and width of the resulting singularity spectrum...

The concept of multifractality offers a powerful formal tool to filter out a multitude of the most relevant characteristics of complex time series. The related studies thus far presented in the scientific literature typically limit themselves to evaluation of whether a time series is multifractal, and width of the resulting singularity spectrum is...

Fractal structures pervade nature and are receiving increasing engineering attention towards the realization of broadband resonators and antennas. We show that fractal resonators can support the emergence of high-dimensional chaotic dynamics even in the context of an elementary, single-transistor oscillator circuit. Sierpiński gaskets of variable d...

By representing a text by a set of words and their co-occurrences, one obtains a word-adjacency network - a network being in a way a reduced representation of the given language sample. In this paper, the possibility of using network representation in order to extract information about individual language styles of literary texts is studied. By det...

Fractal structures pervade nature and are receiving increasing engineering attention towards the realization of broadband resonators and antennas. We show that fractal resonators can support the emergence of high-dimensional chaotic dynamics even in the context of an elementary, single-transistor oscillator circuit. Sierpi\'nski gaskets of variable...

Based on 1-min price changes recorded since year 2012, the fluctuation properties of the rapidly emerging Bitcoin market are assessed over chosen sub-periods, in terms of return distributions, volatility autocorrelation, Hurst exponents, and multiscaling effects. The findings are compared to the stylized facts of mature world markets. While early t...

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 return distributions, volatility autocorrelation, Hurst exponents and multiscaling effects. The findings are compared to the stylized facts of mature world markets. While...

We study structure of the mountain ridge systems based on the empirical elevation data collected by Shuttle Radar Topography Mission (SRTM). We consider several prominent mountain ranges from different geological periods and different geographical locations: the Alps, the Pyrenees, the Baetic Mountains, the Scandinavian Mountains, the Southern Alps...

A form of remote synchronization was recently described wherein amplitude fluctuations across a ring of non-linear electronic oscillators become entrained into structured patterns. Here, the underlying mechanism is finally elucidated. Through numerical simulations of rings having different size and a simplified chain model, as well as experiments i...

A form of "remote synchronization" was recently described wherein amplitude fluctuations across a ring of non-identical, non-linear electronic oscillators become entrained into spatially-structured patterns. According to linear models and mutual information, synchronization and causality dip at a certain distance, then recover before eventually fad...

In this paper, we show that novel autonomous chaotic oscillators based on one or two bipolar junction transistors and a limited number of passive components can be obtained via random search with suitable heuristics. Chaos is a pervasive occurrence in these circuits, particularly after manual adjustment of a variable resistor placed in series with...

Complex network formalism allows to explain the behavior of systems composed by interacting units. Several prototypical network models have been proposed thus far, each one accounting for particular features observed in realistic complex systems. A well-known example is the small-world model, which has been introduced to mimic two important feature...

Complex network formalism allows to explain the behavior of systems composed by interacting units. Several prototypical network models have been proposed thus far. The small-world model has been introduced to mimic two important features observed in real-world systems: i) local clustering and ii) the possibility to move across a network by means of...