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Multiscale Multifractal Detrended Analysis of Speculative Attacks Dynamics in Cryptocurrencies

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Artificial Intelligence and Soft Computing (ICAISC 2022)

Part of the book series: Lecture Notes in Computer Science ((LNAI,volume 13588))

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Abstract

Cryptocurrencies have drawn the interest of both scholars and professionals due to their decentralised, unique payment system supported by blockchain technology and their autonomy from sovereign governments, centralised organisations, and banking systems. Numerous works have studied, on the one hand, the behavior of cryptocurrencies, and on the other hand, the multifractal model in financial markets. Nevertheless, the limitations of existing models exist, and the literature calls for more research into multifractal analysis techniques applied to finance, as the methodology widely used in previous research is the regression model and machine learning methods. This study introduces a new model for predicting unexpected situations of speculative attacks in the cryptocurrency market, applying the method of Multiscale Multifractal Detrended Fluctuation Analysis, which shows excellent precision results. Our approach has a high impact potential on the forecast of possible speculative actions over the value of cryptocurrencies and against the risks derived from the control of cryptocurrencies by private entities, so the question of the possible effect on the financial system is of great importance.

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Acknowledgement

This research was funded by Universitat de Barcelona (Convocatòria d'Àrees Emergents, Project Code: AS017634).

Author information

Authors and Affiliations

  1. Department of Business, Universitat de Barcelona, Barcelona, Spain

    David Alaminos

  2. Department of Finance and Accounting, Universidad de Málaga, Málaga, Spain

    M. Belén Salas

  3. Cátedra de Economía y Finanzas Sostenibles, Universidad de Málaga, Málaga, Spain

    M. Belén Salas

Authors
  1. David Alaminos
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  2. M. Belén Salas
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Corresponding authors

Correspondence to David Alaminos or M. Belén Salas .

Editor information

Editors and Affiliations

  1. Systems Research Institute of the Polish Academy of Sciences, Warsaw, Poland

    Leszek Rutkowski

  2. Częstochowa University of Technology, Częstochowa, Poland

    Rafał Scherer

  3. Częstochowa University of Technology, Częstochowa, Poland

    Marcin Korytkowski

  4. University of Alberta, Edmonton, AB, Canada

    Witold Pedrycz

  5. AGH University of Science and Technology, Kraków, Poland

    Ryszard Tadeusiewicz

  6. University of Louisville, Louisville, KY, USA

    Jacek M. Zurada

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Alaminos, D., Belén Salas, M. (2023). Multiscale Multifractal Detrended Analysis of Speculative Attacks Dynamics in Cryptocurrencies. In: Rutkowski, L., Scherer, R., Korytkowski, M., Pedrycz, W., Tadeusiewicz, R., Zurada, J.M. (eds) Artificial Intelligence and Soft Computing. ICAISC 2022. Lecture Notes in Computer Science(), vol 13588. Springer, Cham. https://doi.org/10.1007/978-3-031-23492-7_28

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  • DOI: https://doi.org/10.1007/978-3-031-23492-7_28

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