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dvasya comments on A proposed inefficiency in the Bitcoin markets - Less Wrong
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If you were a quant, you would know that random walks on a log scale (geometric Brownian motion) are what people normally use for asset prices. It's what's beneath Black-Scholes, for example. An additive random walk can go negative, which prices can't, but a log random walk is always positive.
(Also note that the fact that the EV is higher tomorrow than today isn't that meaningful, because of time discounting- if the EV tomorrow is the same as the EV today in nominal terms, you should sell and buy something that's expected to go up. How does the expected future growth rate compare to other opportunities?)
The point can be formulated even stronger: An additive random walk will go negative.
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.)