Analyzing the Market – Part 3

BitcoinThis is part 3 of my series of posts on the statistics of financial markets. Part 1 isĀ here.

In previous posts, I have found that working in log prices makes sense and that the double exponential distribution is a good fit to price change data. In this post, I will look at correlations over time in price changes.

Let’s ask a simple question: Does yesterday’s price change predict today’s price change? Continue reading