Asymmetric multifractality and dynamic efficiency in DeFi markets

This paper examines the asymmetric multifractality and efficiency in four DeFi assets (BAT-Basic Attention Token, LINK-Chainlink, MKR-Maker, and SNX-Synthetix) using the asymmetric MF-DFA approach and Hurst exponents. The results show different multifractality during downward and upward trends. Furthermore, the asymmetric multifractality intensifies with scale rises. Before the COVID-19 pandemic, BAT, Maker, and Link are more inefficient under upward trend and SNX under downward trend. Conversely, the four DeFi assets are more inefficient during downward trend. Link asset is the most inefficient market before and during COVID-19. These results have important implications for retail investors and funds mangers.