This is part 3 of my series of posts on the statistics of financial markets. Part 1 is 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
This is part 2 of my series of posts on the statistics of financial markets. Part 1 is here.
I have established that a double exponential distribution fits price movements when they are converted to log prices, at least for bitcoin, Apple, and Dell. (Actually I have checked it on a few other NASDAQ stocks too.)
Once we have a statistical model, we can generate some data to see if it produces results that look like the actual price graph. Below you can see the real 2 month bitcoin price graph, together with two graphs that were obtained by using a model based on the Continue reading