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去中心化加密货币交易中的多重分形模式

文章 arXiv papers · 作者: Marcin Wątorek et al.
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总结

该研究考察去中心化加密货币交易是否呈现多重分形特征，这种特征用于刻画不同波动幅度下的变化与尺度关系。研究对文中所述期间 Uniswap Universal Router 的逐笔交易数据应用多重分形去趋势波动分析法。

分析发现，尽管流动性低于中心化交易所，市场仍呈现出新兴的多重分形特征。报告中的谱具有明显不对称性：大幅波动似乎驱动了多重分形结构的大部分，而小幅波动则类似不相关噪声。该模式在交易量中比在收益率中更明显，并有一些证据表明两者在较大事件中存在交叉相关。这些发现描述的是一个交易场所和一个样本期间；本文未证明其普适性，也未证明这些模式能支持盈利策略。

核心观点

  • 该研究对去中心化交易所的交易数据应用多重分形去趋势波动分析。
  • 尽管样本中的去中心化市场流动性相对较低，仍显示出多重分形迹象。
  • 大幅波动似乎比小幅波动对测得的多重分形特征贡献更大。
  • 交易量序列中的多重分形结构比收益率序列更明显。
  • 研究报告称，较大事件中交易量和收益率存在一些交叉相关。

标签

加密资产去中心化金融统计学市场微观结构
全文
# Approaching multifractal complexity in decentralized cryptocurrency trading


# Approaching multifractal complexity in decentralized cryptocurrency trading









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 the possibility of decentralized trading. Based on the extracted tick-by-tick transaction data from the Universal Router contract of the Uniswap decentralized exchange, from June 6, 2023, to June 30, 2024, the present study using Multifractal Detrended Fluctuation Analysis (MFDFA) shows that even though liquidity on these new exchanges is still much lower compared to centralized exchanges convincing traces of multifractality are already emerging on this new trading as well. The resulting multifractal spectra are however strongly left-side asymmetric which indicates that this multifractality comes primarily from large fluctuations and small ones are more of the uncorrelated noise type. What is particularly interesting here is the fact that multifractality is more developed for time series representing transaction volumes than rates of return. On the level of these larger events a trace of multifractal cross-correlations between the two characteristics is also observed.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。