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 series of blog posts is intended to document some mathematical analysis that I have been doing on the bitcoin price graph and on price histories of securities in the stock market. The purpose is to understand something about the statistics of these price movements, and to learn about the behavior of the stock market in general.
One thing that is useful about bitcoin is that trading is never stopped. Because everything runs 24 hours 7 days per week, there are no artifacts to do with starting and stopping trading on specific exchanges and transitioning between financial Continue reading