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Exploring the Asymmetric Multifractal Dynamics of DeFi Markets

Author

Listed:
  • Soufiane Benbachir

    (Laboratory of Studies and Research in Management Sciences, Faculty of Legal, Economic and Social Sciences-Agdal, Mohammed V University of Rabat, Rabat 10000, Morocco)

  • Karim Amzile

    (Laboratory BIGOFE, Faculty of Legal, Economic, and Social Sciences Ain Chock, Hassan II University of Casablanca, Casablanca 20000, Morocco)

  • Mohamed Beraich

    (Department of Economics and Management, Faculty of Economics and Management, Ibn Tofail University, Kenitra 14000, Morocco)

Abstract

The rapid growth of decentralized finance (DeFi) has revolutionized the global financial landscape, providing decentralized alternatives to traditional financial services. This study investigates the asymmetric multifractal behavior of nine DeFi markets—AAVE, Pancake Swap (CAKE), Compound (COMP), Curve Finance (CRV), Maker DAO (MKR), Synthetix (SNX), Sushi Swap (SUSHI), UniSwap (UNis), and Yearn Finance (YFI)—using Asymmetrical Multifractal Detrended Fluctuation Analysis (A-MFDA). The use of generalized Hurst exponents, Rényi exponents, and singularity spectrum functions revealed that DeFi markets exhibit multifractal behaviors. The analysis uncovered clear differences between uptrend and downtrend fluctuation functions, highlighting asymmetric multifractal behavior. The asymmetry intensity was analyzed through excess differences in uptrend and downtrend generalized Hurst exponents. AAVE, COMP, SNX, UNis, SUSHI, and MKR exhibit negative asymmetry, with stronger correlations during negative trends. CAKE shifts from positive to negative asymmetry, showing sensitivity to both trends. CRV is more volatile in negative trends, while YFI consistently displays positive asymmetry across market fluctuations. The results also reveal that long-term correlations and heavy-tailed distributions contribute to the multifractality of DeFi assets. This study highlights the need for dynamic risk management in DeFi markets, urging investors to adopt adaptive strategies for volatile assets and prepare for sudden price fluctuations to safeguard investments.

Suggested Citation

  • Soufiane Benbachir & Karim Amzile & Mohamed Beraich, 2025. "Exploring the Asymmetric Multifractal Dynamics of DeFi Markets," JRFM, MDPI, vol. 18(3), pages 1-28, February.
    • Handle: RePEc:gam:jjrfmx:v:18:y:2025:i:3:p:122-:d:1599917
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    References listed on IDEAS

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    2. Cao, Guangxi & Cao, Jie & Xu, Longbing, 2013. "Asymmetric multifractal scaling behavior in the Chinese stock market: Based on asymmetric MF-DFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(4), pages 797-807.
    3. Yousaf, Imran & Jareño, Francisco & Tolentino, Marta, 2023. "Connectedness between Defi assets and equity markets during COVID-19: A sector analysis," Technological Forecasting and Social Change, Elsevier, vol. 187(C).
    4. R. P. Datta, 2023. "Analysis of Indian foreign exchange markets: A Multifractal Detrended Fluctuation Analysis (MFDFA) approach," Papers 2306.16162, arXiv.org.
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