dvasya comments on A proposed inefficiency in the Bitcoin markets - Less Wrong

3 Post author: Liron 27 December 2013 03:48AM

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Comment author: dvasya 27 December 2013 09:48:18PM 4 points [-]

The point can be formulated even stronger: An additive random walk will go negative.

Comment author: Vaniver 27 December 2013 09:54:23PM *  0 points [-]

If you wait long enough, almost surely. But while that's a visible reason to dislike additive random walk models, I don't think it's the most compelling- the underlying step change in price dynamics does appear to be a percentage shift, not an additive shift. (If the negativity were the only issue, then you can just set up the random walk to be reflect at 0 so it always stays nonnegative.)