Post
Topic
Board Speculation
Re: Wall Observer BTC/USD - Bitcoin price movement tracking & discussion
by
aminorex
on 27/04/2014, 02:08:36 UTC
the distribution of D(i) must satisfy E(exp(D(i)) = Q, not 1; and one can achieve that even with a zero-mean Gaussian if desired.  In that case one would have a legitimate log-Browninan model (with Gaussian increments) such that that E(Z(i0+n)) = Z(i0), E(P(i0+n)) = P(i0)*Q^n, and Prob(P(i0+n) < P(i0)) = 1/2.  Does this make sense?

That's what all my models do, except I never use gaussians unless I need consistency with closed form options.  Can't tell you if it's standard.

Regarding EMH, for every Rijksbank prize winner who advocates some formulation, I can name 2 who will repudiate that formulation as obviously inconsistent with basic observations.  Use it every day, in order to do principled valuations, but give it no credence.